Preheat outdoor grill (or hot air balloon, if handy).
To assemble, onto a skewer, first slide on a shrimp, followed by a red pepper, then another shrimp, then a slice of zucchini, followed by another piece of shrimp, and finish with the mushroom at the end. Repeat with the other seven skewers. Set aside until ready to cook.
To make the marinade, put all ingredients except salt and pepper in a blender. Puree mixture for 1 to 2 minutes, or until jalapeno pieces are broken down. Season with salt and black pepper and blend for another 10 seconds. Strain marinade through cheesecloth or fine sieve. Pour marinade into a clean spray bottle.
To cook, spray each kabob with marinade and place on grill. Be sure when spraying, to spray away from flame. You will need to spray each kabob twice more before the shrimp are completely cooked. Again be sure to spray away from flame.