Preheat your oven to 375°F. In a large skillet, melt butter over medium heat. Add the shallots, celery, red bell pepper, and garlic. Sauté for 4–5 minutes until the veggies soften and release their aroma. Then, stir in the dry sherry and cook for 1–2 minutes to mellow it out.
Once that’s ready, turn off the heat and stir in the crushed crackers, Parmesan, Old Bay, pepper, lemon zest, and parsley. Let it cool slightly so it doesn’t scramble the mayo or crab when you mix those in later.
Meanwhile, prep the shrimp by butterflying them and placing them belly-down in a greased casserole dish. Their tails should stick up—it gives the casserole a pretty look. Drizzle with olive oil and sprinkle lightly with salt and pepper.
Now fold the lump crab and mayonnaise into your cooled cracker mixture. Be gentle—I like to keep the crab in big, juicy chunks.
Spoon the crab stuffing evenly around and between the shrimp. Dot the top with a few small cubes of butter for that golden crust. You can even sprinkle a bit of paprika for color. Bake for 15–18 minutes or until the shrimp turn pink and the topping is golden. For a crispier finish, broil it for 1–2 extra minutes at the end.
Remove from the oven and finish with a sprinkle of parsley and a few lemon wedges on the side. I always squeeze a little lemon on mine right before eating—it brightens the whole dish beautifully.