Heat gas or charcoal grill. On each of 4 (12-inch) metal skewers, thread shrimp, leaving 1/4-inch space between each. Carefully brush remaining oil on grill rack. Place skewers on grill over medium heat. Cover grill; cook 4 to 6 minutes, turning once, until shrimp are pink. Place bread, cut sides down, on grill; cook 2 minutes or until lightly toasted. Spread mayonnaise mixture over cut sides of bread. Place lettuce, shrimp and onion in bottom half. Cover with top of loaf. Cut sandwich crosswise into 4 pieces.