Soak the skewers. Place wooden skewers in a shallow dish, cover completely with water, and soak for at least 30 minutes. Thinly slice the scallions and set aside.
Prepare the shrimp. Pat the shrimp thoroughly dry with paper towels. Removing excess moisture helps the shrimp develop better color on the hot grill.
Make the bang bang sauce. Whisk the mayonnaise, sweet chili sauce, sriracha, and fresh lime juice together in a small bowl until smooth. Reserve about 2 tablespoons for brushing onto the cooked shrimp and keep the remainder for serving.
Assemble the skewers. Remove the wooden skewers from the water. Thread 4–5 shrimp onto each skewer, piercing through both the body and tail area so the shrimp sit securely.
Season the shrimp. Combine the canola oil and garlic powder. Lightly brush the mixture over both sides of the shrimp.
Preheat the grill. Heat the grill to high and lightly oil the grates to help prevent sticking.
Grill the shrimp. Arrange the Grilled Bang Bang Shrimp Skewers directly over the heat. Grill for 2–3 minutes on the first side without moving them, then flip and cook for another 2–3 minutes. The shrimp should be opaque and pink with light char marks.
Glaze and serve. Remove the skewers from the grill and immediately brush them with the reserved bang bang sauce. Garnish with sliced scallions and serve hot with the remaining sauce on the side.