Preheat oven to 425ºF; line a large baking sheet with parchment. In a shallow dish, combine 1 Tbsp. oil, lemon zest, 1 Tbsp. lemon juice and a pinch of salt. Add shrimp and toss to coat. Arrange on baking sheet in a single layer; roast until just cooked through, 5 to 6 minutes. Squeeze lemon halves over shrimp.
In a large skillet, warm remaining 2 Tbsp. oil over medium heat. Sauté onion for 2 minutes. Add garlic and thyme; sauté for 1 minute. Stir in beans and broth; season with salt and pepper. Cook, stirring, until warmed.
Stir radicchio, arugula and remaining 2 Tbsp. lemon juice into bean mixture and cook until greens wilt slightly, about 2 minutes. Divide shrimp and beans among serving plates, top beans with cheese and serve.