Preheat the oven to 400 F. Grease a sheet pan with oil or cooking spray.
Combine shrimp, sausage, zucchini, bell pepper, garlic and lemon in a large bowl. Season with salt, pepper, oil, cajun seasoning and oregano. Toss until all is coated.
Spread shrimp mixture onto a sheet pan in a single layer.
Bake for 15-20 minutes on the middle rack of the oven.