Preheat oven to 350°F. Place shallots in small baking dish. Drizzle with 2 tablespoons oil. Cover dish with foil. Bake shallots 30 minutes. Uncover; roast shallots until soft, about 20 minutes longer.
Puree shallots, any oil in dish, and ⅓ cup oil in blender. Add ⅓ cup oil and all remaining ingredients; puree. Season with salt and pepper.