Dispersive shock waves (DSWs) are fascinating wave phenomena occurring in media when nonlinearity overwhelms dispersion (or diffraction). Creating DSWs with low generation power and realizing their active controls is desirable but remains a longstanding challenge. Here, we propose a scheme to generate weak-light DSWs and realize their manipulations in an atomic gas involving strongly interacting Rydberg states under the condition of electromagnetically induced transparency (EIT). We show that for a two-dimensional (2D) Rydberg gas a weak nonlocality of optical Kerr nonlinearity can significantly change the edge speed of DSWs and induces a singular behavior of the edge speed and hence an instability of the DSWs. However, by increasing the degree of the Kerr nonlocality, the singular behavior of the edge speed and the instability of the DSWs can be suppressed. We also show that in a 3D Rydberg gas, DSWs can be created and propagate stably when the system works in the intermediate nonlocality regime. Due to the EIT effect and the giant nonlocal Kerr nonlinearity contributed by the Rydberg-Rydberg interaction, DSWs found here have extremely low generation power. In addition, an active control of DSWs can be realized; in particular, they can be stored and retrieved with high efficiency and fidelity through switching off and on a control laser field. The results reported here are useful not only for unveiling intriguing physics of DSWs but also for finding promising applications of nonlinear and nonlocal Rydberg media.