To prepare romesco, place first 5 ingredients in a food processor; process until finely ground. Add tomato and next 6 ingredients (tomato through bell peppers); process until smooth. Transfer to a bowl; stir in parsley.
Prepare grill or broiler.
To prepare shrimp, combine shrimp, garlic, 1/4 teaspoon salt, and 1/4 teaspoon black pepper; toss to coat. Thread shrimp onto 6 (8-inch) skewers. Place skewers on grill rack or broiler pan coated with cooking spray; cook 3 minutes on each side or until shrimp are done. Serve shrimp with sauce and lemon wedges.