To make the Sriracha cream sauce, whisk together mayonnaise, Sriracha and condensed milk in a small bowl; set aside.
In a large bowl, combine shrimp, olive oil, paprika, cayenne pepper, garlic and onion powder, oregano and thyme; season with salt and pepper, to taste. Cover, and refrigerate, turning occasionally, for at least 30 minutes.
Thread shrimp and sausage onto 4-inch-long skewers or toothpicks.
Heat a grill pan over medium high heat. Add shrimp in a single layer and grill until shrimp are opaque and sausage is slightly softened, about 3 minutes per side.
Serve immediately with Sriracha cream sauce, garnished with chives, if desired.
Notes
*Sriracha is an Asian-style hot chili sauce and can be found in the Asian section of your local grocery store.