Shrimp and Okra Kebabs

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Vegetable oil, for the grill

3 tablespoons sugar

2 tablespoons plus 2 teaspoons Old Bay Seasoning

1 1/2 pounds shell-on jumbo shrimp, deveined

1 tablespoon extra-virgin olive oil

1/4 pound okra

1/4 pound yellow wax beans, halved

4 scallions, cut into 1-to-2-inch pieces

1 stick unsalted butter, melted

1/4 cup dry sherry

1 tablespoon Worcestershire sauce

Juice of 1/2 lemon, plus wedges for serving