Heat the grapeseed oil in a small saucepot over medium heat and saute onion until translucent. Add garlic and saute for 2 more minutes. Stir in ketchup, mesquite seasoning and cayenne pepper. Reduce heat to low, cover and let simmer for 15 minutes.
For the shrimp scampi:
Heat grapeseed oil over medium heat in a skillet and add garlic, celery, red bell pepper, green bell pepper, thyme and parsley. Cook for about 5 to 10 minutes until vegetables soften and flavors are integrated. Stir in shrimp and cook until they are just pink and opaque. Do not overcook shrimp. Remove to a platter. Spoon sauce over and sprinkle with parsley.
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