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In large bowl, toss together corn, jalapeños, olives, shrimp, cumin, scallions, lime zest and cheese until combined. Evenly divide corn mixture among tortillas, spreading on half of tortilla (about ⅔ cup each). Fold tortillas in half.
Heat grill or grill pan to medium-high heat. Brush grill grates with oil. Grill tortillas, flipping once, until tortillas are golden brown and cheese is melted, about 5 minutes. Cut tortillas into wedges and serve with Pico de Gallo and avocado.