Carefully remove peel from the lemon half, being careful not to include the white portion. Cut the lemon peel into very thin strips.
Combine lemon peel, water, onion, lemon juice, cooking oil, garlic, Cajun seasoning, and salt in a large skillet; heat to boiling. Add shrimp stirring to coat. Return to boiling. Reduce heat and simmer, covered, about 4 minutes or until shrimp are opaque, stirring twice. Stir in green or red pepper. Transfer mixture to a glass bowl. Cover and marinate in the refrigerator for 4 hours, stirring the mixture occasionally.
At serving time, drain mixture well. Serve in a lettuce-lined bowl with serving picks. Makes 12 servings.