Soak the corn (husks and all) in cold water for at least 30 minutes – if you can’t find cobs with the husks intact, you don’t need to do this. Meanwhile, place the mayo into a bowl with a drizzle of extra virgin olive oil, the zest from the limes and the juice from 1. Mix well, taste and add a squeeze more juice, if needed. Spread the mayo onto a plate, then dust with the paprika or cayenne pepper and put to one side. Grate the cheese onto another large plate, then set aside also.
Preheat a griddle pan over a high heat. Add the corn and griddle for 12 to 15 minutes, or until the husks are black and charred all over, turning occasionally – the husks will help to steam the corn until tender.
Peel back the husks, keeping them intact at the base, then roll each cob into the lime-spiked mayo, before rolling into the cheese. Shake off any excess and get stuck in.