1. Peel shrimp, leaving tails intact. Devein shrimp, if desired. Place shrimp in a large heavy-duty zip-top plastic bag. Set aside.
2. Coat a large nonstick skillet with cooking spray; place over medium-high heat until hot. Add onion; cook, stirring constantly, until tender. Stir in ketchup and next 6 ingredients; pour over shrimp. Seal bag; shake until shrimp is coated. Marinate in refrigerator 1 hour, turning bag occasionally.
3. Soak 4 (8-inch) wooden skewers in water at least 30 minutes.
4. Prepare grill.
5. Thread 6 shrimp onto each skewer, running skewer through neck and tail. Coat grill rack with cooking spray; place on grill over medium-hot coals (350° to 400°). Place skewers on rack; grill, covered, 3 to 4 minutes on each side or until shrimp turn pink. Squeeze 1 lemon wedge over each skewer, and serve immediately.