Preheat oven to 375 degrees F.
Add some oil to a small skillet and heat over medium-high heat. Add the green and red bell peppers and cook for 2-3 minutes. Season with salt and pepper lightly.
In a large bowl, mix the mayo, Worcestershire sauce, old bay seasoning, egg, lemon juice, cooked peppers, and crushed Ritz crackers. Mix well.
Fold in the crab and set aside.
Place the butterflied shrimp in an oven-safe dish with the tails facing up. Season with salt and pepper. Add about 1 tbsp of the crab mixture to each shrimp.
Brush the stuffed shrimp with melted butter and bake for 15 minutes or until the shrimp are completely pink. Broil for 1-2 minutes for some extra color.
While the shrimp cook, prepare the cream sauce. To make the cream sauce, add 1 tbsp of butter to a skillet and heat over medium-high heat.
Add the garlic and red crushed pepper, cook for 20 seconds. Add the heavy cream, cajun seasoning, and paprika. Cook for 4-5 minutes or until thickened. Season with salt and pepper.
Pour the cream sauce over the stuffed shrimp and enjoy! Garnish with extra lemon wedges and fresh parsley, if desired.