Heat a grill to high. Thread 3 shrimp onto 2 skewers (so that the shrimp lie flat). Repeat with remaining shrimp. Brush with oil and season with paprika and salt and pepper, to taste. Grill until golden brown on both sides and just cooked through, about 1 1/2 minutes per side.
Whisk together the mayonnaise, white wine vinegar, mustards, and dill in a medium bowl and season with salt and pepper, to taste.
Put the shrimp on a platter and immediately drizzle with the mustard vinaigrette.
Combine the yogurt, olives, oregano, lemon juice, and garlic in a food processor and process until combined. Season with salt and pepper, to taste. Serve the shrimp with sauce on the side.