Preheat a grill pan over medium-high heat or preheat a gas or charcoal grill. Drizzle the romaine lettuce, corn, zucchini and shrimp with olive oil. Season with salt and pepper. Grill the romaine lettuce, turning occasionally, until crisp-tender and browned in spots, about 2 minutes. Grill the corn and zucchini for 2 minutes on all sides until crisp-tender.
Grill the shrimp for about 2-3 minutes on each side until the meat is opaque and cooked through.