Prepare a hot fire in a charcoal grill or preheat a gas grill to medium-high. Soak 4 wooden skewers in water for 30 minutes.
Shell and devein the prawns, leaving the head (if attached) and tail intact.
Wrap each prawn with half of a slice of pancetta. Thread 4 prawns crosswise onto each of the 4 skewers, alternating with zucchini slices. Brush with oil and season with salt and pepper. Place the skewers on the grill rack and grill, turning once, for about 3 minutes on each side, until the shrimp are pink and firm. Serve at once.