Preheat oven to 450 degrees. In a medium bowl, combine shrimp, half the garlic, lemon zest, and 1 tablespoon oil. Season with salt and pepper and toss to coat. In another medium bowl, toss bread with 1 tablespoon oil and season with salt and pepper. Thread shrimp and bread onto eight 8-inch wooden or metal skewers. Transfer skewers to a rimmed baking sheet and bake until shrimp is opaque throughout and croutons are golden, 7 minutes.
Meanwhile, in a large bowl, combine remaining garlic, lemon juice, 2 tablespoons oil, egg yolk, and mustard; season with salt and pepper. Whisk until well combined; stir in Parmesan. Add romaine and toss to coat. Sprinkle salad with more Parmesan and serve alongside skewers.
Up the Ante: Add 1 minced anchovy fillet to the dressing for authentic Caesar flavor, or use your favorite tender herbs.