Zest the limes into a bowl. Squeeze in the juice from 1 lime and whisk in the fish sauce, sugar and cayenne pepper.
Brush the shrimp with the oil on both sides, and lightly sprinkle with salt and pepper. Grill until the shrimp are pink and firm to the touch, 2 to 3 minutes per side.
Toss the shrimp with the fish sauce mixture, cilantro, peanuts and scallions. Juice the remaining lime over the shrimp.