Tuck 1 oyster into the curve of a shrimp; wrap half a bacon slice around both. Place on a metal skewer, making sure to run the skewer through the oyster to keep it from sliding out during cooking. Repeat with remaining shrimp, oysters, and bacon slices. Season with black pepper.
Preheat a gas or wood grill for medium heat. Spray grate lightly with cooking spray. Cook skewers, flipping at least twice, until bacon is almost crispy, about 20 minutes.