Preheat a grill to medium. Place the lime juice in a medium bowl, then slowly whisk in 3 tablespoons walnut oil until combined. Stir in the cantaloupe and cucumbers and refrigerate.
In a large bowl, toss the shrimp with the remaining 2 tablespoons walnut oil and season with salt and pepper. Arrange on the grill, cover and cook, turning once, until firm and lightly charred, about 3 minutes. Let cool slightly.
Transfer the shrimp to the bowl with the cucumber-melon salad. Toss with the feta, coconut and mint; season with salt and pepper.