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Soak skewers in water for at least 30 minutes to prevent them from catching fire on the grill. Pat shrimp dry with paper towels then toss in a large bowl with oil and 1 Tablespoon Cajun seasoning. Slice Andouille sausage the same thickness as the shrimp then tuck sausage slices between the curve of the shrimp and skewer (I fit three shrimp and sausage slices on each skewer.)
Combine mayonnaise, remaining Tablespoon Cajun seasoning, and lemon juice in a bowl then mix to combine. Store in refrigerator (can be done 1-2 days ahead of time.)
Preheat grill over high heat for 10 minutes then turn heat down to medium-high. Spray both sides of skewers with nonstick spray then grill for 1-2 minutes per side or until shrimp are opaque and cooked through. Serve skewers with dipping sauce.