For the rémoulade sauce, put the mayonnaise, capers, pickle relish, tarragon, shallot, vinegar, garlic, mustard, salt, and paprika into a blender. Pulse several times, until well combined.
Brush each scallop on all sides with the canola oil and season with salt and pepper. If you like, thread two scallops each through doubled skewers. (This helps in the cooking and turning process. By all means you can skip this step, because your scallops should be big enough not to fall through the grill grate when cooking.)
Oil the grill racks. Preheat your grill using all burners set on high and with the lid closed for 10 to 12 minutes.
Place the scallops over direct heat and cook for 2 to 3 minutes on one side, and then turn and cook for an additional 2 to 3 minutes. The scallops should be barely opaque in the center and should feel firm to the touch but with some give. Please don’t overcook the scallops, or they become hockey pucks. Serve the rémoulade sauce along with the scallops.
You can make the rémoulade sauce up to 24 hours in advance. Cover and refrigerate until ready to serve.