Pat the shrimp dry and then add to a bowl. Add the lemon zest, salt, pepper, and olive oil to the shrimp and toss until well combined. While the shrimp marinates, make the orzo salad.
Bring a large pot of salted water to a boil. Add the orzo and cook using the package directions until al dente. Drain, rinse with cool water, set aside, and let cool.
While the orzo is cooling, make the vinaigrette. Add the olive oil, lemon juice, lemon zest, minced garlic, salt, and pepper to a bowl and whisk until well combined.
To a large mixing bowl, add the cooked orzo, tomatoes, cucumber, red onion, dill, and feta cheese. Drizzle the vinaigrette over the orzo salad and toss until well combined.
Now cook the shrimp. If using wooden skewers, thread the marinated shrimp onto the soaked skewers.
Heat your grill to medium-high heat (375-450 degrees).
Grill the shrimp for 2-3 minutes per side on direct heat until done. The shrimp will be done when it is opaque and pink around the edges.