Heat an outdoor grill to high (about 400°F to 500°F). If you’re using wooden skewers, submerge them in water for at least 30 minutes to keep them from burning on the grill.
Meanwhile, finely zest 1 of the lemons (for about 2 packed teaspoons) and squeeze 1 tablespoon of juice from the same lemon. Slice the remaining lemon in half, then each half into 4 pieces; set aside.
Place the lemon zest and juice, olive oil, Old Bay, and a pinch of pepper in a large, nonreactive container with a tightfitting lid or a large resealable bag and stir to combine. Add the shrimp, kielbasa, and reserved lemon pieces and stir to evenly coat. Cover and chill for 20 minutes.
Skewer 1 shrimp, making sure to pass the skewer through both the thick portion and the tail, then skewer 1 piece of kielbasa through the casing, leaving no space in between the shrimp and kielbasa. Repeat until you have 3 shrimp and 3 kielbasa pieces per skewer, then skewer 1 lemon piece on the end of each.
When the grill is ready, use tongs to rub the grate with several layers of paper towels dipped in vegetable oil. Place the skewers in a single layer on the grill without touching (cook them in batches if needed), cover, and cook, flipping once, until the shrimp are just cooked through and firm and the kielbasa is warmed through the center, about 5 to 6 minutes total.
To serve, remove the lemon wedge from each skewer and squeeze the juice over the shrimp and sausage.