Heat grill over medium-high heat (350- 400 degrees F) and oil the grill grates (to do this, dip a wadded paper towel in a little oil and, using tongs, wipe the oil evenly over the grate. Be careful not to use too much oil, because that's a surefire way to start a good flare-up—a little goes a long way here.)
Place the red bell pepper, zucchini and red onion on the grill, close the lid and cook for 4 minutes.
Open the grill, and flip the veggies. Next, add the shrimp and the romaine (cut side down), close the lid and cook until grill marks appear on the first side of the shrimp, 2 to 3 minutes. Flip the shrimp and continue to cook until they are just cooked through and are no longer transparent, about 2 more minutes. The romaine only needs a char/grill marks on the one side, about 4 minutes. Remove the veggies and shrimp and set aside.