1. Preheat grill to medium-high.
2. Combine cabbage, relish, mayonnaise and yogurt in a medium bowl.
3. Toss shrimp with 2 teaspoons oil, chili powder, paprika and pepper in a medium bowl. Place the remaining 2 teaspoons oil in a small bowl. Dip a pastry brush in water, then in the oil and lightly brush the inside of each bun (or roll).
4. Place a grill basket (see Kitchen Tip) on the grill. Add the shrimp and spread in a single layer. Grill, stirring occasionally, until the shrimp are pink and just cooked through, about 3 minutes. Open the buns and grill, turning once, until toasted on both sides, about 1 minute total.
5. To assemble the sandwiches, divide tomato and onion among the buns. Spread about 1/3 cup cabbage mixture down the middle of each and top with about 1/2 cup grilled shrimp.