Soaking the skewers for at least 20 minutes, totally submerged in water before using them, should prevent them from burning if grilling.
Heat the gas grill to medium-high heat. If using a grill pan, lightly spray or oil to prevent the shrimp from sticking to the pan.
In a medium bowl, combine thyme, garlic, jerk seasoning, olive oil, lemon juice, hot sauce, and soy sauce. Set aside.
Add shrimp to a large bowl, season with salt, then marinate the shrimp with the jerk mixture.
Use some marinade to rub on the vegetables, then salt to taste.
Thread the shrimp onto the skewers, alternating the shrimp with the vegetables. Make sure the front of the skewer is fully covered with vegetables or shrimp.
Place skewers on grill pan or gas grill.
Grill for 2-3 minutes per side until vegetables are fully cooked. Serve warm with salad, rice, or creamy orzo.