For the romesco sauce: Heat the olive oil in a medium skillet over medium heat. Add the almonds and cook, stirring often, until golden, about 3 minutes. Add the garlic and cook, stirring, until pale golden and fragrant, about 1 minute. Add the smoked paprika and stir for 30 seconds. Transfer to a blender. Add the red peppers, vinegar and 1/2 teaspoon salt and blend until almost smooth. Transfer to a bowl and cool to room temperature. The romesco sauce can be made up to 1 day ahead and kept refrigerated.
For the shrimp skewers: Toss the shrimp with the lemon zest, garlic, 1 tablespoon of the oil, 1/2 teaspoon salt and pepper to taste in a bowl. Thread 3 shrimp onto each skewer. Toss the green onions in a bowl with the remaining 1 tablespoon oil and a pinch of salt.
Heat a grill or grill pan over medium-high heat. Grill the green onions, turning occasionally, until wilted and charred, about 5 minutes. Transfer to a serving platter. Grill the shrimp skewers, turning once, until just cooked through, 2 to 3 minutes per side. Place the skewers on the platter with the onions and serve with the romesco sauce.