Any scampi that your buy is gonna be pretty bad for you, but you can make it yourself with king prawns (which I think you Yanks call big shrimp) wholewheat bread crumbs egg and salt and pepper.
take the prawns, dip them in beaten egg, cover them in bread crumbs and lightly fry them in a very small amount of olive oil.
Dont croud the pan, make sure they have lots of room to breath.
I'm not too sure, but i think that if you drizzle milk over them then you can grill them. but dont take my word for it.