Uwajimaya has them and pretty reasonably priced, too.
HT Oaktree Market has a live tank with spot prawns, needless to say they have the heads on :) Prices are not too bad either. They used to be the Oaktree Larry's Market.
Call Mutual Fish on Rainier Avenue South. We Japanese like the shrimp with the heads on, and Mutual Fish is run by Japanese Americans. If they don't have them, maybe they can special order for you.
I could swear I have seen a tank with live side stripe shrimp at Uwajimiya ... if not, then I'd wander up the streets in the ID & check out the other seafood markets ..they are typically full of live product
99 Ranch should have them, possibly in different sizes - Edmonds and Southcenter area. The Vietnamese market that took over the Larrys location in the Northgate area is also a possibility.
one assumes you are referring to pike place market (which does not have head-on shrimp) and uwajimaya (which does) - head-on shrimp are also available frozen by size in five pound blocks which more mainstream venues may be willing to order for you