In a shallow dish, combine shrimp, 1 teaspoon zest, 1/4 cup juice, garlic, oil, 1 tablespoon thyme, 1/2 teaspoon salt, and teaspoon pepper; toss to coat. Marinate in the refrigerator for 30 minutes (or up to 8 hours). Soak eight 8-inch wooden skewers in water 30 minutes before cooking.
In a small bowl, combine mayonnaise, remaining 1/2 teaspoon zest, remaining 1/4 cup juice, and remaining 1 teaspoon thyme; season dipping sauce with salt and pepper.
Heat grill to medium; lightly oil grates. Thread shrimp onto skewers, and grill, turning once, until shrimp are opaque throughout, 3 to 4 minutes. Serve shrimp with dipping sauce.