Preheat a grill to medium. Using small, sharp scissors, snip each shrimp shell down the center of the back and, using the tip of the scissors, remove the dark "vein," leaving the shells intact. Put the shrimp in a bowl and drizzle with 2 tbsp. EVOO; toss to coat.
In a large bowl, whisk together the remaining 1/3 cup EVOO, the lemon juice, garlic and 1/2 tsp. pepper. Add the bell peppers and onion and toss to coat.