Preheat the grill or oven to 400°F (200°C).
Prepare 4 large sheets of aluminum foil, about 12 inches long.
In a large bowl, combine shrimp, sausage, bell peppers, onion, garlic, corn, Cajun seasoning, and olive oil. Toss to combine thoroughly.
Place equal amounts of the mixture on each sheet of foil, and top with a few slices of lemon.
Fold the foil over the ingredients to create tightly sealed packets, ensuring no openings remain.
Place the packets on the grill or in the oven and cook for 15-20 minutes.
Carefully open the packets, allowing steam to escape, and serve warm.