1. For the sauce, in a food processor, pulse parsley, anchovies, scallion, and garlic until scallion and parsley are finely chopped. Add mayonnaise, yogurt, and vinegar; pulse until combined. Season with salt and pepper.

2. For the shrimp, heat the grill to medium high; lightly oil grates. Peel and devein shrimp. Thread shrimp horizontally onto five 12-inch-long skewers. Grill, turning skewers over once, until shrimp are opaque throughout, 4 to 6 minutes. Remove from skewers, and if desired, serve over watercress with lemon wedges