Preheat oven to 450℉. On a large baking sheet toss shrimp with 1 tablespoon oil and 2 tablespoons Cajun seasoning. Bake until cooked through, about 10 minutes.
Meanwhile, in a large skillet heat remaining 1 tablespoon oil over medium. Add onion, peppers, and salt and sauté until softened, 6-8 minutes.
In a medium bowl whisk together yogurt, remaining 1 teaspoon Cajun seasoning, paprika, hot sauce, and garlic.
Lay wraps flat. Place 1 lettuce leaf on each wrap and top with onions, peppers, shrimp, and yogurt sauce.
Fold in sides, then fold bottom of wrap over filling and roll up tightly. Cut in half and serve.