Heat oil in a large skillet over medium heat. Add peppers and onions and cook, until soft, 4-5 minutes.
Stir in jalapeños, thyme, salt and pepper and cook until jalapeños start to soften, about 1½ minutes. Pour in coconut milk and simmer until reduced by half, about 5 minutes. *For more heat substitute a Scotch Bonnet pepper.
Add shrimp and cook until they curl, about 2 minutes. Turn off heat and stir in Sriracha and Chobani.