Thaw shrimp in fridge if frozen and remove tails. Core and cut bell peppers into large chunks. Cut onion into wedges. Place shrimp and all veggies in large sealable bag.
In a small bowl stir together remaining ingredients until combined and pour into bag with shrimp. Seal and shake to evenly coat. Marinade in fridge at least 30 minutes and up to 4 hours.
Preheat gas grill to medium-high heat. Alternate shrimp and veggies onto metal or wood skewers, discarding marinade. Add skewers to grill, close and cook 3-5 minutes, until bottoms are seared. Rotate and cook 3-5 minutes more until shrimp is opaque and veggies are tender.