Interesting how Paleo is in quotes for this question. You can certainly have Paleo mayonnaise, without the quotes.
That product is likely the least offensive out there, and it sounds to be aimed at the raw crowd. I'd be more worried about those "Real" or Miracle, or Hell brand ones that are made with soy oil, or other crap. Those are really crap in a jar products filled with artery clogging trans fats.
But, why would you have to ever buy mayo? Almost everyone has a blender, food processor, a mixer, or an immersion blender, or as a last resort a wisk, and if you don't, you should invest the $20 to get a basic blender. You could always use it to mix up drinks. :)
And almost everyone has eggs and some kind of inoffensive, Paleo-friendly oil or fat in their kitchen.
Yes, sesame oil can be high in n6 PUFAs, but it has such a strong flavor, you'd only use a drop or two in mayo since it's got such a strong flavor, so I wouldn't worry about it.
Most recipes call for one whole egg plus one egg yolk at room temperature, but you can get away using two whole eggs and not separating one, then drizzle in a cup or two of whatever oil you want: whether bacon drippings, EVOO, or coconut oil. You'll also throw in a teaspoon of mustard, fine salt, and fresh cracked pepper, and a bit of lime/lemon juice.
If it breaks on you, it means you've added too much oil too fast, in which case, just throw in another egg yolk and slowly mix it up and beat it some more to rescue it.
You could vary it up a bit and throw in a couple of cooked (or raw) garlic cloves for an aiole. You could experiment and go the sweet way instead of the savory way, by omitting the mustard, salt, pepper, and try a drop of vanilla extract and cinnamon. There's millions of variations you can try.
Once it's done, scoop it out of the blender or bowl and put it in a glass container (I use pyrex ones) and stick it in the fridge for an hour or two so it hardens up, but you could eat it soft too.
It only takes a few minutes to make, and it's light years ahead of anything you'd get from a store or online because it's fresh and hasn't been sitting in a jar for months on end.