Prepare the greek yogurt remoulade by combining all the ingredients (greek yogurt through paprika), mix thoroughly. Cover with plastic wrap and refrigerate while preparing the shrimp.
Preheat a grill or grill pan to medium high heat.
In a bowl, add the shrimp, corn oil and 1 1/2 teaspoons of Creole/Cajun seasoning. Stir to combine.
Thread the shrimp onto metal or bamboo skewers. Grill the shrimp for 2 minutes per side, until just cooked through.
Assemble the cajun shrimp lettuce wraps by putting 1 tablespoon of the Greek yogurt remoulade onto the center of a bibb lettuce leaf, then add shrimp, tomatoes, and pickles. Repeat until all your ingredients are used up. Serve immediately.