1. Using sharp kitchen shears, cut along back of shell of each shrimp, and devein (leave shells on). Combine oil, oregano, parsley, 3/4 teaspoon salt, and pepper in a large, shallow bowl. Add shrimp and corn, and toss to coat. Let marinate at room temperature for 30 minutes, tossing mixture occasionally.

2. Preheat grill to medium-high. (If using a charcoal grill, coals are ready when you can hold your hand 5 inches above grill for just 3 to 4 seconds.) Divide shrimp, corn rounds, and linguica among 8 skewers, beginning and ending with the linguica. Grill, turning often, until shrimp are just opaque, 5 to 7 minutes. If corn begins to blacken before shrimp are cooked, move skewers to the coolest part of the grill to finish cooking. Serve skewers with lemon wedges for squeezing over shrimp, and aioli for dipping.