Hey MM, try this
Marinate your shrimp in water, vinegar and some spice such as some Rex shrimp and crab boil
https://www.rexfoods.com/explore.cfm?mc=1002&s=1003
Then put them on the grill as you did before
or leave the shell on and cook as if you were cooking them Louisiana "BBQ Shrimp" style
Andy Roos has good ways to BBQ shrimp if you want to grill them
http://www.neworleansshowcase.com/anrolobbqshc.html
Vinegar should soften the shell and let the spices through. It will also make them cook easier instead of pealing first and then cooking