Add a thin slice of pickled jalapeño to each appetizer for extra heat.
Peel shrimp; devein, if desired.
Combine lime juice, 3 tablespoons vegetable oil, and next 3 ingredients in a heavy-duty zip-top plastic bag, gently squeezing to blend; add shrimp. Seal and chill mixture 15 minutes.
Remove shrimp from marinade, reserving marinade.
Bring reserved marinade to a boil in a small saucepan; remove from heat.
Cut zucchini lengthwise into thin slices with a vegetable peeler. Wrap each shrimp with a zucchini slice, and secure with a wooden pick. Brush rolls with remaining 5 tablespoons vegetable oil.
Grill rolls, without grill lid, over medium-high heat (350° to 400°) about 4 minutes.
Brush with reserved marinade; turn and brush again. Grill 2 more minutes or just until shrimp turn pink. Serve hot or at room temperature on a cilantro-lined platter, if desired.