If using wooden skewers, soak in water for 30 minutes before grilling.
Stir together 1 cup mayonnaise, 3 Tbsp. orange juice, and 1 to 2 tsp. minced canned chipotle peppers in adobo sauce, and set aside. Combine 1/4 cup cornmeal, 2 tsp. cumin, and 1 tsp. salt. Peel and, if desired, devein 1 lb. fresh shrimp; rinse shrimp. Toss shrimp in cornmeal mixture. Thread shrimp onto skewers; spray evenly with cooking spray. Grill, covered with grill lid, over medium-high heat (350° to 400°) 2 to 3 minutes on each side or until shrimp turn pink. Serve shrimp on whole wheat buns with mayonnaise mixture, tomato slices, and shredded lettuce.