1. Toss shrimp in a large nonreactive baking dish with zest and juice of 1 lemon, the Old Bay seasoning, and oil. Marinate in the refrigerator for 30 minutes.

2. Heat grill to medium-high. Slice remaining lemon into 1/4-inch-thick slices. Grill lemon slices, shrimp, and bacon directly on grates until lemon slices are caramelized (2 to 3 minutes per side), shrimp are cooked through (about 3 minutes per side), and bacon is lightly charred and crisp (4 to 5 minutes per side). Transfer lemons and shrimp to a bowl, and the bacon to a plate. Let cool slightly.

3. Tear bacon into 2-inch pieces, and add to bowl with lemons and shrimp. Toss until well combined.