In a large mixing bowl, combine the shrimp, olive oil, sugar, paprika, salt, garlic and lemon zest. Let the shrimp marinate 20 minutes.
Preheat a grill pan over high heat. When the grill pan is hot, grill the shrimp until they are just cooked through and turning pink, about 2 minutes per side. Serve immediately with Romesco sauce.
Romesco Sauce: In a food processor, process the toasted almonds until ground. Add the roasted red peppers, olive oil, vinegar, cayenne pepper, bread and garlic. Process until the mixture is smooth. Season the sauce with salt and pepper and transfer it to a serving bowl to serve alongside the grilled shrimp. If the consistency is too thick, add more olive oil and vinegar to achieve the consistency you prefer.