Pre-heat outdoor grill or a grill pan on the stove to 350°.
Melt butter in a separate small skillet on stove top over medium heat. Stir in shallot, garlic, and red pepper flakes until fragrant. Season with salt and pepper to taste.
Thread shrimp, dividing among 4, 6-inch skewers. Brush shrimp with the butter-shallot mixture and set aside.
If using a vegetable grill pan on the outdoor grill, spray with spray release and place on the grill to one side. Add zucchini and peppers and cook for about 5 -7 minutes, stirring occasionally. While vegetables are cooking, add the shrimp to the grill. Brush shrimp with remaining butter mixture. Cook the shrimp, turning occasionally until shrimp are pink and opaque. About 3-4 minutes, While the shrimp and vegetables are cooking add the lemons face down on the grill and char until nicely browned for squeezing over the shrimp.