Light a grill or heat a grill pan. In a medium bowl, toss the shrimp with 2 tablespoons of the olive oil and season with salt and pepper. Grill, turning once, until the shrimp are pink and curled, about 5 minutes. Transfer to a plate.
Heat the remaining 1 tablespoon of olive oil in a medium skillet. Add the corn and cook over moderately high heat until crisp-tender, about 2 minutes. Transfer to a bowl and let cool. Add the celery, lemon juice, garlic, mayonnaise, paprika and cayenne and season with salt and pepper. Stir in the shredded cabbage.
Quickly warm the tortillas on the grill. Spread the tortillas on a work surface and mound the corn slaw in the center of each. Top with the shrimp. Roll up the wraps, cut in half and serve.