In a mixing bowl, thoroughly combine mayonnaise, smoked paprika, minced pepper, lime juice and zest, and garlic. Cover and refrigerate until ready to serve.

Working in batches, lay bacon in one layer in a large cast iron pan and fry over medium heat until cooked through but still soft. Keep it flat in the pan with a bacon press or large spatula while it cooks. Drain on paper towels. Reserve bacon fat for another use.

Toss shrimp with Creole seasoning; stuff each butterflied shrimp with shredded cheese. Wrap each shrimp with a slice of bacon, taking care to cover the cheese. Secure with a toothpick.

Heat a grill to medium high. Skewer shrimp through the tail and top, placing up to six per skewer depending on size of shrimp. Leave space between each one for even cooking.

Grill, turning once, until bacon is crispy and shrimp are pink. Slide shrimp off skewers and serve at once with reserved mayonnaise sauce.