Place shrimps in a bowl along with the nutmeg, thyme, lemon zest, olive oil, salt and pepper. Stir ingredients together and let marinate for 3-4 hours in the refrigerator.
Preheat oven to broil. Remove the shrimps from the marinade and slide 3 shrimps onto each wooden skewer. Place the skewers on a baking sheet and broil for 5-6 minutes.
For the sauce
Melt the butter in a saucepan over low heat. Add the milk, cardamom, salt and pepper and stir. Add the feta cheese and continue stirring until the cheese melts completely and the sauce thickens.
Transfer hot shrimp skewers to a platter and serve with feta cheese sauce on the side. Garnish with chopped parsley.