For serving: chopped fresh parsley and lemon wedges
In a large bowl, place the shrimp, sausage, zucchini, potatoes, and corn. Add the melted butter with canola oil, Cajun seasoning, and seafood seasoning. Toss to combine. To grill the packets, preheat an outdoor grill to medium high. To bake, preheat the oven to 400 degrees F.
Place four large (about 16x12-inch) pieces of heavy duty aluminum foil on the counter. Mound the shrimp and sausage mixture in the center of each piece, dividing it evenly between the four. Bring the shorter edges to the center, then fold them over each other to make a seam in the center. Fold in the edges to seal so that you create a packet. Leave some space inside of each packet for air to circulate.
Place packets on the grill and cover. Grill for 10 minutes on the first side, then flip and continue grilling for 5 additional minutes until the shrimp is cooked through and the vegetables are tender. To bake, place the foil packets on a rimmed baking sheet. Bake for 15 to 20 minutes. Carefully open the foil packets. Serve hot with a sprinkle of parsley and lemon wedges.
These foil packets are best enjoyed the day they are made but can be reheated gently in the microwave. Since shrimp tend to dry out easily when reheated, I prefer to keep these separate, then serve them chilled or at room temperature over a salad.