1. Whisk together mayonnaise, garlic, and juice with salt and pepper to taste. Keep aioli covered and chilled.
2. Working with one 8-inch skewer at a time, thread 1 shrimp lengthwise and wrap with a slice of ham (you may want to cut ham in half lengthwise if slices are too big). Repeat with remaining skewers, shrimp, and ham.
3. Preheat grill. Grill shrimp seam-side down, turning over moderate heat until they are cooked through, about 3 minutes. Serve shrimp warm or at room temperature with aioli.