Zest limes into a bowl. Squeeze in juice from 1 lime, and whisk in fish sauce and sugar.
Preheat grill to high. Brush shrimp with oil on both sides, and lightly season with salt and pepper. Grill until pink and firm to the touch, 2 to 3 minutes per side.
Toss shrimp with fish-sauce mixture, cilantro, peanuts, and scallions. Juice remaining lime over shrimp.