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Special Equipment: Eight 10-inch wooden or metal skewers
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Whisk the mayonnaise, 1/4 cup of the oil, the anchovies, garlic, lemon zest and juice and 1/2 teaspoon freshly ground black pepper together in a mixing bowl.
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Add 1 cup of the Parmesan and stir to combine.
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Season with some salt and pepper.
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Preheat a large grill pan or outdoor grill over high heat.
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Slice the baguette in half length-wise, like you would to make a sandwich.
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Then slice each half into 8 equal pieces, about 3/4-inch-thick.
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Place the pieces on a baking sheet or large plate and reserve.
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Quarter the romaine hearts lengthwise and cut each quarter into 1-inch pieces, making sure to keep each piece stacked and together.
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You will need 24 pieces total.
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To assemble the skewers, carefully thread 1 stack of the romaine on a skewer, making sure that the thickest part of the romaine is in the center of the skewer.
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Follow the romaine with 1 piece of baguette and repeat until you have 3 stacks of romaine and 2 pieces of baguette on the skewer.
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Thread 2 shrimp onto the end of the skewer, making sure that both the top and bottom of each shrimp is taut on the skewer.
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Leave no more than 1/2-inch of exposed skewer at each end once all of the ingredients are on.
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This will prevent you from having to soak the skewers if you are using wooden skewers.
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Place the assembled skewer on a sheet tray.
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Repeat with the remaining 7 skewers and ingredients.
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Place 1/2 cup of the dressing in a small bowl and whisk in the remaining oil.
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Brush the skewers liberally with the dressing.
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Place the skewers on the grill and cook until the bread and romaine are lightly charred and the shrimp is just cooked through, about 3 minutes, rotating the skewers as needed for even charring.
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If the shrimp is not cooked by the time the bread toasts, use tongs to touch the shrimp ends to the hot grill grate.
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Transfer the grilled skewers on to a large platter and sprinkle with the remaining Parmesan.
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Serve immediately with the remaining dressing on the side.
