Rub the potatoes with vegetable oil and put them on a baking sheet. Bake the potatoes until tender, about 1 hour.
While the potatoes are baking, cook the bacon in a skillet over medium-high heat until crisp, about 7 minutes. Transfer the slices to a paper towel-lined plate to drain, then crumble. Pour off all but 3 tablespoons of bacon grease from the skillet.
Cut the shrimp into thirds. Reheat the bacon grease over medium-high heat. Add the shrimp, Cajun seasoning, and a pinch of salt. Cook until the shrimp are opaque, stirring constantly, 2 to 3 minutes.
When the potatoes are done, let them cool slightly (leave the oven on). Slice off the top third of each potato and carefully scoop out the flesh into a bowl. Scoop out the potato from the top third, and add that to the bowl, then discard the skin. Leave about 1/4-inch border of potato inside the skin. Mash the potato flesh with 1 teaspoon salt, the green onion, cheese, butter, sour cream, mayonnaise, and black pepper. Stuff the potato skins with the filling, mounding any extra on top. Divide the shrimp on top of the potatoes and sprinkle with the crumbled bacon
Return the potatoes to the oven on the baking sheet and bake them until heated through, about 15 minutes. Remove the potatoes from the oven, sprinkle with the reserved chopped green onions and serve.