Combine the shrimp, halved cherry tomatoes, sliced zucchini, and bell peppers in a mixing bowl.
Whisk together the olive oil, minced garlic, fresh lemon juice, dried oregano, paprika, salt, and pepper in a separate small bowl.
Pour the olive oil mixture over the shrimp and vegetables. Toss everything together until the shrimp and vegetables are evenly coated.
Cut a large piece of foil (about 12x12 inches) and place the shrimp and vegetable mixture in the center of the foil.
Fold the foil over the mixture to create a packet, sealing the edges tightly to prevent any steam from escaping.
Preheat your air fryer to 400 degrees F (200°C) for 3-5 minutes.
Once the air fryer is preheated, place the shrimp foil packet in the basket.
Air fry the packet at 400°F (200°C) for 8-10 minutes or until the shrimp are pink and cooked, and the vegetables are tender-crisp.
Carefully open the foil packet, and garnish the shrimp and vegetables with chopped fresh parsley, if desired.
Serve with lemon wedges on the side.