Do you think these could be baked in a packet rather than grilled? I was thinking bake at 400 for about 5 minutes? What do you all think. Thanks!

Thank you both!

My apologies for the late reply, I have been out of town! But yes, as nomnivorous says, you can absolutely bake the packets in the oven, it will work just as well!

While I have not made this particular recipe, I have made plenty of baked seafood packets. They're one of my favorite things to make. With something as quick cooking as shrimp, I'm sure it would work well in the oven. 400 is a great temp for packets, hot enough to get the steam happening but not too hot to scorch anything.