In a large pan over medium-high heat, add 1 tablespoon extra-virgin olive oil. Add the sausage and cook until brown. Remove the sausage from the pan and drain on paper towels. Reserve.
Add another tablespoon of extra-virgin olive oil to the pan and the butter. Stir in the peppers, onions, celery, garlic, chile pepper, thyme, and bay leaves and cook until tender, about 7 to 8 minutes. Sprinkle in the paprika and stir, then add the flour and stir for 1 minute more.
Stir in the stock and Worcestershire, then reduce the heat to low and simmer for about 3 minutes to combine flavors. Stir in hot sauce, to taste. Add the reserved browned sausage to sauce. The sauce can be cooled and refrigerated for a make-ahead meal.
Bring the sauce to a low boil over medium heat, then stir in the shrimp. Cover and cook until the shrimp are pink and firm, about 3 to 5 minutes. Transfer the shrimp mixture to a serving bowl and serve with rice flavored with scallions.