I haven't tried any of these, but here are a few. Not all are for grilling, but maybe w/tweaks...
Stuffed Shrimp with Sausage & Cilantro Lime Salsa
6 Medium Shrimp
1 Tbs Lime Juice
3 oz. Pork or Chicken Chorizo
1 Tbs Cilantro
3 Slices Bacon
2 Cloves Chopped Garlic
1 Tsp. Cumin
1 Tbs Olive Oil
12 oz. Tomatillo or Red Tomato
Salt & Black Pepper to taste
Method: Stuffed Shrimp
Peel and devein shrimp, leaving tail on. Remove chorizo filling from casing and portion into 6 round balls. Stuff shrimp with chorizo and fold over. Cut bacon slices in half and wrap around shrimp and filling hold with toothpick. Dust Shrimp with cumin. Fry stuffed shrimp in oil and cook until bacon wrap is golden brown.
Method: Cilantro Lime Salsa
Core and dice tomatoes at 1/4 inch. Place tomatoes in bowl; add lime juice, cilantro, garlic and olive oil and mix together. Season with salt and black pepper.
— Chef Robert Vasquez
From WholeFoodsMarket.com
Crab Stuffed Shrimp Wrapped in Bacon
Prep Time: 20 minutes
Cook Time: 20-25 minutes.
10 ea. 16/20 shrimp (peeled and deveined)
16 oz. lump crab meat (checked for shells)
2/3 cup mayonnaise
1 tsp. dry mustard
2 jiggers of Worcestershire sauce
1 Tbl. dry sherry
10 thin julienne slices of fresh jalapeno
10 strips of bacon ( par cooked)
to taste salt and white ground pepper
bacon: par cook in a 350°oven, place bacon on a baking pan covered with foil for easy clean up and cook in oven for 10 to 15 minutes or until bacon is approximately half cooked.
Method:
Gently mix crabmeat, mayonnaise, mustard, Worcestershire and sherry.
Butterfly shrimp by laying shrimp on their side and pulling a sharp paring knife through the center of the shrimp from tail to head with out cutting completely through.
Take approximately 2 oz. of crab stuffing and place stuffing next to the shell side of the shrimp put one sliver of jalapeno on stuffing and wrap tightly with par cooked bacon and fold tail over, put prepared shrimp on a lightly greased baking pan, repeat with remainder and separate shrimp in pan by 1 inch.
Bake in a 350° oven for 20 to 25 minutes or until just done. (please, please, please, don’t overcook)
From Cigar-Review.com
BBQ Bacon-Wrapped Stuffed Shrimp
Ingredients
30 10-ct Gulf shrimp - BIGGER is better!
1 jar horseradish, course
1 c Monterey Jack cheese
1/2 c Asiago cheese
1 jar BBQ sauce
2 pound(s) bacon
Directions
Peel and de-vein shrimp. Soak round toothpicks in water. Split shrimp down the outside, being careful not to cut all the way through. Combine cheeses in small bowl. Stuff split with horseradish, then cheese. Wrap shrimp with bacon and secure with toothpick. Grill and baste with BBQ sauce until bacon is done. Do not overcook.
Tip: If smaller shrimp are used, half bacon length-wise and pre-cook slightly to prevent the shrimp from becoming over-cooked.
From Campfire Cookbook
Stuffed shrimp with bacon
Categories: Appetizers Usenet
Yield: 2 servings
12 lg Shrimp (the larger the better)
1 lb Mozzarella (low-moisture)
1 lb Bacon (as little fat as possible)
Steam shrimp lightly, just about 30-60 seconds after they begin to turn orange. Plunge shrimp into ice water to cool. Do this immediately. Peel and butterfly the shrimp. Cut the mozzarella into strips that are a little smaller than the shrimp. Put mozzarella in shrimp and (this is important) roll shrimp from tail to head while it is open (butterflied). This keeps the cheese from leaking. Wrap shrimp-cheese roll in 1/2 slice of bacon and put on skewer. Cook on grill or barbecue, over moderate heat, until bacon looks done. When shrimp are butterflied, cut them almost all the way through so they can lay flat when open. This makes them easier to roll. The fire will flare up due to bacon fat. Turn the skewers often to cook evenly. The bacon should be slightly charred when done. The reason why the shrimp are cooked lightly first is that they tend to cook slower than the bacon.
From Astray.com