Start by seasoning the shrimp and scallops with old bay. Sprinkle a pinch or two evenly over both sides of each piece of fish. Let is sit in the refrigerator for about 30 minutes.

Heat the grill to high.

Mix together the citrus juices and oil with a whisk. Pour it over the shellfish and let it sit for about 10 minutes, while the grill heats up.

Place the shrimp on skewers, then the scallops on separate skewers. Lay the shrimp and citrus over indirect heat and the scallops over direct.

Do not close the lid - Let them cook for about 2 to 3 minutes on each side, then turn and cook another 2 to 3 minutes.

Be careful not to over cook! And don't turn the scallops too soon - they will fall off the skewer. (You can also cook them in a grill basket to prevent them falling off).

Remove from the grill and set on a plate.

Mix together the citrus juices and oil with a whisk. Pour it over the shellfish and let it sit while you make the sauce. Cover loosely with foil to keep it warm.

Make the sauce by whisking the mayonnaise, milk and lemon zest until it's well blended. Just before serving, stir in the caviar.

Remove the fish from the skewers.

Serve the shellfish on a bed of rice (pistachio rice is great with this) and top with the sauce. Garnish with some fresh thyme leaves and a few little spoons of more caviar - and enjoy!!