Prepare an outdoor grill with a medium-high fire. Without removing the shells, slit about 3/4 of the way through the shrimp down the ridged back and remove the vein that runs down the center. Rinse and pat the shrimp dry. Whisk thyme leaves, lime juice, 1 tablespoon of the olive oil, 1/2 teaspoon of the salt and black pepper, to taste, in a shallow nonreactive bowl or dish. Lay the shrimp cut side down in the lime mixture and refrigerate for 30 minutes.
In a food processor, pulse the garlic, jalapeno, scallions, remaining 1 tablespoon olive oil and remaining 1/2 teaspoon salt to make a coarse paste. Add the cilantro and pulse just enough to incorporate into the mixture. Spoon the mixture into the opening in the shrimp and close the shrimp. Grill the shrimp shell side down (to keep filling from falling out) for 3 minutes. Turn to the other shell side, cover, and grill another 2 minutes or until the shrimp turn pink and are slightly firm to the touch. Sprinkle with salt and serve.
Jumbo shrimp in the shell can be a knife and fork sort of deal unless you're outside and it's summer and you are feeling very relaxed. Serve these with lots of napkins if your crowd is the peel-and-eat type.
Shrimp cooked in the shells are more intensely flavorful. Leaving the shells on provides a buffer against overcooking, a misfortune many shrimp suffer. Shrimp, even these jumbos, continue to cook once removed from the grill. It's always best to cook them just until opaque and let the delicate shellfish finish cooking off the heat.
From Food Network Kitchens Get Grilling, Meredith, 2005