Today, we're throwing down Southern Preserved Lemon & Chili Shrimp on the Pit Boss Pellet Grill! Preserved Lemons are most thought of as an African, Middle Eastern, or Mediterranean ingredient. However, preserved lemons have also been popular for centuries in Southern cooking. You can make the preserved lemons at home or buy them from specialty grocery stores or online. This recipe may sound complicated, but we promise you, if you follow along it will be extremely easy to make in your own backyard!