In a large bowl, combine the mayonnaise, old bay seasoning, cayenne pepper, parsley, bread crumbs, egg, and lemon juice. Season with salt and pepper lightly.
Fold in the crabmeat gently, then cover and refrigerate for 1 hour.
Preheat oven to 350 degrees F.
Peel shrimp leaving tails on then butterfly and season with salt and pepper.
Place about 1 tbsp of the crab mixture on top of the shrimp.
Bake for 13-15 minutes or until fully cooked through, squeeze a little lemon juice if desired and enjoy!