Combine the shallots, garlic, jalapeño, oregano, lemon juice, olive oil and a pinch of salt in a gallon-size zip-top bag. Add the lamb, turning to coat, and refrigerate at least 3 hours or preferably overnight.
Heat a grill or grill pan to medium high. (If using wooden skewers, soak 12 to 16 of them in water for at least 20 minutes.)
Remove the lamb from the marinade and thread 2 pieces onto each skewer. Season with salt and pepper. Grill on the hottest part of the grill for 2 minutes per side, then move to a cooler part of the grill. (If using a grill pan, reduce the heat to medium.) Cover and cook until the meat reaches an internal temperature of 145 degrees F, 4 to 5 minutes. Top the souvlaki with oregano and serve with a dollop of Greek yogurt.