Prepare your fire or camp stove. For a campfire, let it burn down to low, glowing coals. For a stove, set to medium heat.
Cut two large sheets of heavy-duty aluminum foil, each about 18 inches long. Stack them together for a double layer.
In a bowl, toss the shrimp, zucchini, cherry tomatoes, olive oil, garlic, smoked paprika, salt, and pepper until evenly coated.
Divide the mixture evenly between the two foil stacks. Lay 2–3 lemon slices on top of each portion.
Fold the foil: bring the long edges together and fold over twice, crimping tightly. Then fold the short ends twice each, pressing firmly. Leave a little air space inside for steam.
Place the packets seam-side up on the grate or directly on the coals. Cook for 10–12 minutes, rotating once halfway through. The shrimp should be pink and opaque, and the vegetables tender.
Carefully open one packet to check doneness—watch for steam. Let rest for 2 minutes, then garnish with parsley if using. Serve directly from the packet or transfer to a plate.