Preheat your Big Green Egg to 450°F for direct grilling.
In a large bowl, toss the shrimp with olive oil, chili powder, cumin, Fajita-ish seasoning, and cayenne pepper. Thread the shrimp onto skewers.
In a separate bowl, combine the Greek yogurt, cilantro, lime juice, garlic, and cayenne pepper. Mix well and refrigerate until ready to serve.
Place the shrimp directly over the heat and grill for 3 to 4 minutes per side.
Remove the shrimp when they are opaque and cooked through. Avoid overcooking.
Warm the tortillas on the grill for 30 seconds per side.
Remove the shrimp from the skewers and divide among the tortillas.
Top with cabbage, tomatoes, avocado, cilantro, and a drizzle of cilantro lime crema.
Serve immediately with lime wedges.