Special equipment: eight 12-inch bamboo skewers
Soak eight 12-inch bamboo skewers in warm water, about 30 minutes.
Preheat a grill or grill pan to medium-high heat. Make the dressing: Pulse the lemon juice, mustard, Worcestershire sauce, anchovy paste and garlic in a food processor. Gradually add the olive oil with the food processor running. Stir the Parmesan. Season with salt and pepper.
Toss the shrimp with 2 tablespoons of the dressing and the bread cubes with another 2 tablespoons of the dressing. Thread the shrimp on 4 skewers and the bread cubes on 4 skewers. Top each skewer with a hot cherry pepper. Grill the bread cube skewers until toasted with grill marks, about 30 seconds to 1 minute per side. Remove from the grill.
Grill the shrimp skewers until the shrimp turn pink, turning once, 3 to 4 minutes.
Brush the romaine lightly with olive oil and grill until grill marks appear, 1 to 2 minutes per side. Cut the lettuce crosswise into 1 1/2-inch-wide strips.
Toss the lettuce with 1/2 cup dressing and salt and pepper to taste. Serve the shrimp and crouton skewers over the salad and the extra dressing drizzled on top.
If you don't want to use a food processor, finely chop the garlic and combine with the lemon juice, mustard, Worcestershire sauce and anchovy paste. Slowly drizzle in 1/2 cup olive oil, whisking constantly until combined. Stir in 1/2 cup Parmesan. Season with salt and pepper. To give each bite of shrimp and crouton pack a spicy punch, thread a hot cherry pepper onto each skewer before adding shrimp and croutons. The heat from the peppers will transfer to the shrimp and croutons and heat them up from the inside out.