Dry the peeled and de-veined shrimp with paper towels. Set aside.
Combine all of the shrimp marinade ingredients in a medium bowl. Add the shrimp and toss well to ensure even coating. Shrimp cam be grilled right away but refrigerate it for 1-2 hours for best results.
Meanwhile, prepare the dipping sauce by combining all of the ingredients in a small bowl. Set aside.
Preheat the grill to about 400F. The best way to grill shrimp is on skewers – it will be easy to flip them and they won’t accidentally fall down. Grill over direct heat for about 2 minutes per side, until the shrimp just turns pink. Do not overcook.
If desired, toast the bread on the grill and melt the cheese.
To assemble the sandwiches, layer the cheese, then cilantro, then 6 pieces of shrimp (you can remove shrimp tails at this time) on the bottom part the of the bread. Squeeze some lemon juice over the shrimp. Smear the dipping sauce on the top part of the bread and place on top of shrimp.