1. To prepare salsa verde, combine first 9 ingredients in a medium bowl, stirring with a whisk.
2. Preheat the grill to medium-high heat.
3. To prepare kebabs, combine 2 teaspoons oil and shrimp; toss to coat. Thread shrimp evenly onto 4 (12-inch) skewers. Thread 3 fennel wedges and 3 onion wedges alternately onto each of 4 (12-inch) skewers. Brush vegetables with remaining 2 teaspoons oil. Sprinkle shrimp and vegetables with 3/8 teaspoon salt and 1/8 teaspoon pepper.
4. Place skewers on a grill rack coated with cooking spray; grill shrimp 1 1/2 minutes on each side or until done. Grill vegetables 12 minutes or until tender, turning occasionally. Serve with salsa verde.