Step 1 Heat a grill over medium heat. Toss the shrimp and the onions with a little olive oil and a sprinkling of salt; brush the bread with olive oil and sprinkle with salt.
Step 2 Grill the onions until the bulbs are tender and with good grill marks and the green parts are somewhat charred, several minutes. Rotate the onions occasionally with tongs for even grilling. Set aside.
Step 3Clean the surface of the grill and cook the shrimp next, rotating for even grilling just until the flesh is opaque and firm.
Step 4Clean the surface of the grill and grill the bread, rotating for even grilling. Serve the warm bread, shrimp and onions on a platter with a large bowl of romesco sauce in the center for dipping.