Soak the wooden skewers in water for at least 30 minutes before grilling.
In a small bowl, combine all of the spices (salt, garlic powder, paprika, pepper, onion powder, cayenne and oregano).
Rinse shrimp and pat dry with paper towels.
Toss the shrimp in the spice rub until well coated.
Thread the shrimp onto the skewers; set aside. Thread the mini peppers onto separate skewers.
Place grill pan on grill; preheat grill to medium-high.
Place the skewers with the mini peppers on the grillpan and cook for 4-5 minutes.
After several minutes, rotate the mini pepper skewers and add the skewers of shrimp.
Let shrimp grill for 2-3 minutes per side, or until pink in color and fully cooked.
Remove shrimp and peppers from the grill and serve hot.
For the Spicy Cajun Dipping Sauce
Using a small bowl, combine all ingredients and whisk together until well combined. (Tip: This Dipping Sauce will taste better if you make it earlier in the day and then cover it and place it in the refrigerator for a couple of hours.)