Combine first 4 ingredients in a large zip-top freezer bag; seal bag, and toss to coat. Marinate in refrigerator 3 hours, turning bag occasionally.
. Cut bread loaf in half horizontally. Hollow out top half of loaf, leaving a 1/2-inch border; reserve torn bread for another use. Coat cut sides of both loaf halves with cooking spray.
. Prepare grill.
. Thread shrimp evenly onto 4 (12-inch) metal skewers, leaving 1/4 inch between each shrimp. Place skewers on a grill rack coated with cooking spray; grill 2 to 3 minutes on each side or until done. Place bread, cut sides down, on grill rack; grill 2 minutes or until lightly toasted.
. Combine mayonnaise and next 4 ingredients, stirring well. Spread mayonnaise mixture evenly over cut sides of loaf. Arrange lettuce, shrimp, and onion evenly over bottom half. Replace top half of loaf. Cut sandwich crosswise into 4 equal portions.