Peel and devein shrimp, leaving tails intact. Place shrimp in a large heavy-duty zip-top plastic bag. Set aside.
Coat a nonstick skillet with cooking spray; place over medium-high heat until hot. Add onion; sauté 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 once.
Thread shrimp evenly onto 8-inch skewers, running skewers through necks and tails. Place skewers on grill rack coated with cooking spray, and grill, covered, 3 to 4 minutes on each side or until shrimp are done.
Squeeze 1 lemon wedge over each skewer; serve immediately.