1. To make the Sriracha cream sauce, whisk together mayonnaise, Sriracha and condensed milk in a small bowl; set aside.
2. In a large bowl, combine shrimp, olive oil, paprika, cayenne pepper, garlic and onion powder, crushed red pepper, oregano and thyme; season with salt and pepper, to taste. Cover, and refrigerate, turning occasionally, for at least 30 minutes.
3. Thread shrimp and sausage onto 4-inch-long skewers or toothpicks.
4. Heat a grill pan or charcoal grill over medium high heat. Add skewers in a single layer and grill until shrimp are opaque and sausage is slightly softened, about 3 minutes per side.
5. Serve immediately with Sriracha cream sauce, garnished with chives, if desired.