Place potatoes in a large pot, cover with 2 inches of water, and bring to a boil over high heat. Reduce heat to a medium and simmer until potatoes are slightly tender, about 5 minutes. Add corn and boil for an additional 5 minutes.
Meanwhile, preheat the grill or oven to 400F.
In a large mixing bowl, whisk together melted butter, olive oil, and Cajun seasoning. Season with salt and pepper to taste. Add corn, potatoes, shrimp, and sausage, and mix until well coated. Distribute mixture between the foil sheets and tightly seal foil packets by folding up the sides over the contents.
Place the packets on the grill or in the grill over a cookie sheet and cook until shrimp are pink and cooked through, about 8 to 10 minutes. Garnish with parsley and lemon wedges if desired.