Preheat grill to medium-high heat.

Cut shrimp down the back to devein, then thread them onto 4 skewers, (leaving on heads and shells). Drizzle the shrimp and whole green onions with about 2 tablespoons of the olive oil season with salt and pepper. Set aside while you prepare the sauce.

In a saucepan, combine the wine, lemon juice, garlic, shallots, salt, pepper, Worcestershire sauce and hot pepper sauce and bring to a boil. Reduce until liquid has nearly evaporated. Add cream and reduce by half. Reduce heat to medium and whisk in butter bit by bit. When all butter has been added, remove from heat, but continue whisking until all butter is incorporated; season to taste with salt and pepper. Keep warm, set over a pan of hot water; do not let sauce get too hot or it will separate.

Transfer the shrimp and green onions to the grill. The green onions cook quickly; keep an eye on them and turn them as soon as they begin to brown. Cook the shrimp about 4 minutes per side or less, just until they turn pink and are opaque throughout.

To serve, stir the caviar into the lemon sauce. Place the shrimp skewers on warmed dinner plates, and top with grilled green onions. Drizzle sauce over each plate and sprinkle with parsley.