If grilling the corn (you can slice the kernels from the cob and use raw if you prefer), brush the cob with olive oil and season with salt and pepper. Repeat with the fennel slices and avocado half.
Prepare grill for direct grilling, preheating to medium-high. Clean and oil the grates when hot.
Brush the romaine halves with olive oil and season generously with salt and pepper.
Unless you have an extra large grill, you'll probably have to grill in batches. Start with the corn, fennel, avocado, and lemon slices. Place on the grill over the heat (avocado cut side down). Rotate the corn cob and flip the fennel and lemon slices as they begin to char. Transfer to a large baking sheet (or other tray) as the vegetables and fruit develop grill lines. The corn will probably take the longest, up to 10 minutes.
While the vegetables grill, thread the marinated shrimp onto flat skewers.
Place the romaine halves on the grill, and heat for 2 to 3 minutes. Use tongs to carefully flip the halves to char the other sides. Remove to the baking sheet.
Finally, grill the shrimp, 2 to 3 minutes per side, or until the shrimp and plump, pink, and opaque. Transfer to baking sheet.