In a small bowl whisk together the olive oil and kosher salt. Set aside.
On four 10-inch metal skewers, thread shrimp, leaving 1/4-inch space between each shrimp. Brush oil mixture over cut sides of lettuce and the shrimp.
For a charcoal grill, grill shrimp on the rack of an uncovered grill directly over medium coals for 5 to 8 minutes or until shrimp are opaque, turning once halfway through grilling. Grill lettuce, cut side down, for 2 to 4 minutes or until grill marks develop on the lettuce and lettuce is slightly wilted.
For a gas grill, preheat the grill. Reduce heat to medium. Cover and grill shrimp and lettuce as above.
Place lettuce in serving bowl. Remove shrimp from the skewers. Place in bowl with lettuce and sprinkle with the Parmesan cheese.
Squeeze the juice of one of the lemons over the shrimp and lettuce and drizzle with additional olive oil if desired. Sprinkle with additional kosher salt and freshly ground black pepper if desired.
Cut the remaining lemon in wedges and serve with the salad.