Pat dry the lamb shanks. Mix together the cumin, paprika, salt and pepper. Season the lamb with the rub.
Heat the Instant Pot on saute mode. Add half the cooking oil. Once hot, set the lamb shanks into the pot and sear on all sides, about 6-8 minutes total. Transfer the shanks to a plate.
Add the rest of the olive oil. Then add the onion, carrot, and celery. Stir it around the pot, scraping the bottom to remove any browned bits. Saute the veggies until slightly softened, about 3 minutes. Add in the garlic and saute for 30 seconds.
Add in the red wine. Whisk to remove any browned bits from the bottom of the pot.
Add in the bay leaves. Then nestle the lamb shanks into the mixture. Let simmer for 3-5 minutes to reduce the alcohol.
Pour in the broth.
Secure the lid and set the vent to sealing (if necessary for your model).
Set to cook on high pressure for 30 minutes. When the time is up, allow the pressure to release naturally until the pin drops, about 10-15 minutes. Remove the lid.
Transfer the lamb shanks to a plate to rest. Remove the bay leaves.
Using an immersion blender, blend all the ingredients in the pot.
Pour the entire contents of the pot through a strainer into a bowl or large measuring cup. Press with the back of a wooden spoon to release all the juices. Then discard the solids and return the gravy to the pot.
Turn the Instant Pot to saute mode again.
Mix the cornstarch and water together in a small bowl.
Once the liquid is boiling, pour in the cornstarch slurry and stir. Let it cook until the liquid is thickened, about 3-5 minutes.
Serve the lamb shanks with the gravy poured over the top. It goes well on a bed of mashed potatoes.