Soak the skewers in water for 30 minutes or longer.
Place the shrimp in a large bowl. Set aside.
In a small bowl, whisk together the olive oil, lemon zest, garlic powder, chili powder, cayenne pepper and salt.
Pour the marinade over the shrimp. Allow to marinade for 20-30 minutes.
Place the bacon on a microwave safe plate and cover with a paper towel. Cook at high power for 2 minutes or until the bacon is partially cooked and still pliable. Remove from the microwave and allow to cool. Pat dry with a paper towel.
Wrap one half of a bacon slice around the shrimp and thread on the skewer making sure the bacon is secure at both ends so it doesn't fall off. Repeat with the remaining shrimp so there's three shrimp to a skewer.
Place the shrimp on the grill and cook for 3 minutes over high heat.
Flip the shrimp over and cook for an additional 3 minutes until the bacon is crisp and the shrimp are fully cooked.
Transfer the shrimp to a plate and serve with the romesco sauce.
Notes
Shrimp kabobs can be assembled up to 24 hours in advance. Cover with plastic wrap and store in the refrigerator until ready to grill.