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Rinse the shrimp under cold running water and dry thoroughly on paper towels. Transfer to a re-sealable plastic bag or a bowl.
Make the marinade: Combine the olive oil, lemon juice, lemon zest, garlic, salt, pepper, and parsley in a small jar with a tight-fitting lid and shake vigorously until combined. Pour over the shrimp and refrigerate for 30 minutes to 1 hour.
About 30 minutes before you are ready to cook the shrimp, start the Traeger grill on Smoke with the lid open until the fire is established (4 to 5 minutes). Set the temperature to 400 degrees F and preheat, lid closed, for 10 to 15 minutes.
Lay the bacon strips diagonally on the grill grate and grill for 10 to 12 minutes, or until the bacon is partially cooked but still very pliable. Cut each strip in half width-wise. Leave the grill on.
Drain the shrimp, discarding the marinade. Wrap a strip of bacon around the body of each shrimp, securing with a toothpick. Grill for 4 minutes per side, turning once. Enjoy!
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