Curl each shrimp into a C shape, and skewer through the neck and tail; you should be able to fit 5 on each skewer. Brush the shrimp with oil and sprinkle with salt and pepper.
Place the lemon halves on the grill cut-sides down. Lay the skewers flat on the grill and grill, covered, for 90 seconds. Flip the skewers and grill, covered, until grill marks appear on the shrimp, about 1 minute. Transfer the skewers to a plate, squeeze the grilled lemon halves over the top and serve.
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