Peel shrimp, leaving tails intact. De-vein shrimp if desired.
Soak skewers in water at least 30 minutes.
Coat a large nonstick skillet with cooking spray and heat over medium-high heat. Add onions and cook, stirring constantly, until tender. Mix in ketchup and next five ingredients.
Place shrimp in a zip-top bag, add ketchup mixture, seal bag and shake to coat. Marinate in refrigerator for one hour, turning bag occasionally.
Thread four shrimp onto each skewer, running skewer through neck and tail.
Coat grill rack with cooking spray; place on grill over medium-hot coals (350-400 degrees F).
Place skewers on rack and grill, covered, 3-4 minutes on each side or until shrimp turns pink. Squeeze one lemon wedge over each skewer and serve immediately.