Combine the scallops, sherry, teriyaki sauce, juice and zest of lemon in a shallow dish. MArinate at least 2 hours or overnight in the refrigerator. Remove the scallops from the marinade, remove the marinade, and broil 8 cm from heat for 3 minutes. Keep warm while you prepare the sauce. Dissolve the cornstarch in water. Bring the reserved marinade to a boil and add the cornstarch in water. Return to a boil and boil for 1 minute. Pour over the scallops and serve over rice or serve as an appetizer with the sauce on the side for dipping.