Squeeze the juice from half of the lemon and half of the orange into a large bowl, and then stir in the olive oil, thyme, paprika, salt, garlic and pepper, to taste. Toss the shrimp to coat, and refrigerate 30 minutes. Meanwhile, cut the remaining lemon and orange into 1/2-inch-thick wedges, and then cut each wedge into thirds. Skewer 2 shrimp onto each skewer with pieces of citrus and refrigerate until ready to grill.
Preheat a grill to medium high. Grill the shrimp, turning once, until charred on both sides and just cooked through, about 4 minutes total.