For remoulade, stir cucumber, sugar and salt and let sit in a strainer over a bowl for 30 minutes. Squeeze out excess liquid, stir in yogurt, capers and dill pickle and chill until ready to serve.
For fritters, heat oil in a small sauté pan over medium heat and add onion. Sauté onion for 5 minutes until translucent, then add corn and thyme and sauté until corn is tender, about 3 minutes. Remove from heat to cool.
Stir together cornmeal, flour, sugar, baking powder, salt and pepper. In a separate bowl, whisk egg and milk. Add egg mixture to flour mixture and stir just until blended. Fold in cooled corn mixture, then stir in shrimp.
Heat enough oil to come up 2-inches in a heavy-bottomed, deep pot to 375F (190C). Drop fritter batter by tablespoonfuls gently into oil and fry until deep golden brown, turning once (about 6 minutes). Remove to paper towel to drain and serve warm with remoulade.
