Peel and devein the shrimp; place in a pint-size zip-top bag.
In a small bowl, mix the Cajun seasoning and olive oil. Pour over the shrimp inside the bag; gently massage to coat the shrimp. Refrigerate, gently massaging the bag occasionally, for at least 30 minutes.
Meanwhile, light the grill and have it preheated and ready set up for indirect heat. Add whole sausage links to grill and cook for 4 to 5 minutes on each side, turning occasionally. The sausage links should be fully cooked after about 10 to 15 minutes; remove from the grill and allow them to rest for 2 to 3 minutes. Using a sharp knife, cut the links into 1-inch pieces.
Place the shrimp around the sausage and then wrap 1 piece of bacon around the shrimp and sausage. Gently thread a 4-inch-long skewer or use toothpicks to hold them stuffed shrimp together.
Coat the grill grate with oil using a paper towel. Place the stuffed shrimp over indirect heat. Grill until shrimp are opaque in center and bacon is crisp, turning as needed, about 6 to 8 minutes.
Remove from the grill and serve immediately with lemon wedges.
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