Step 1: Turn on grill to medium-high heat and lightly oil the grate. Cut each shrimp shell along the back vein to the tail. (Shrimp shells should remain on when grilling.)
Step 2: Transfer shrimp to a medium-sized bowl. Add 1 tablespoon canola oil, two-thirds of garlic, 1½ teaspoon Old Bay Seasoning and ¾ teaspoon salt and combine. Let sit 10–15 minutes.
Step 3: To make the aioli, whisk egg yolk and remaining garlic in a medium-sized bowl. Finely grate 1 teaspoon lemon zest into egg mixture. Whisking constantly, gradually stream in remaining ½ cup canola oil until thick and pale yellow. Juice one of the lemon halves and add to mixture. Season with kosher salt (don't be shy).
Step 4: Grill shrimp and three lemon halves until shells are golden brown and shrimp flesh is opaque. Grill lemons face-down for 1–2 minutes.
Step 5: Spread aioli on a platter. Place shrimp and lemons. Lightly season with more Old Bay Seasoning.
YIELD
4 servings