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Sauce: Preheat oven to 275 degrees F. Line jellyroll pan with aluminum foil.
Bring pot of water to a boil. Working with half the tomatoes at a time, cook tomatoes in pot 30 seconds. Remove to colander; rinse with cold water to cool. Peel and core tomatoes; halve lengthwise; remove seeds. Set 4 largest halves aside. Place remaining halves, cut sides down, on prepared pan. Drizzle with oil; top with garlic, thyme and 1/2 teaspoon salt. Bake 2 1/2 hours, turning twice, until shriveled. Let cool. Pour off oil from pan and reserve (5 tablespoons). Reserve 3 garlic cloves, discarding remainder.
In blender, process roasted tomatoes, reserved tomatoes, 3 tablespoons reserved oil and 3 reserved garlic cloves, until smooth. Pour into bowl; add remaining salt, the ketchup, horseradish, lime juice, jalape�o and pepper. Cover; chill. (Can be made up to 3 days ahead.)
Shrimp: Soak skewers in cold water for 1/2 hour.
In bowl, mix shrimp, 2 tablespoons reserved oil, the thyme, salt and pepper. Thread shrimp on skewers. Heat ridged grill pan over medium-high heat. Grill shrimp 2 to 3 minutes per side, until cooked. Remove from skewers. Serve warm, at room temperature or slightly chilled, on lettuce with sauce.
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