Toss the shrimp in olive oil and generously coat with Cajun seasoning. Reserve 1/2 teaspoon of the seasoning for the pan sauce.
Heat 2 tablespoons of the reserved bacon fat in the skillet over medium-high heat. Sear the shrimp on both sides until just cooked through and no longer opaque, about 4 minutes total. Remove and tent with foil. If necessary, cook in batches to avoid overcrowding, using additional bacon fat as needed.
In the same skillet, melt the butter and sauté the garlic and scallions until aromatic, about 2 minutes. Stir in the reserved Cajun seasoning, red pepper flakes, and Calabrian peppers with their oil. Cook for 1 minute.
Deglaze the pan with chicken stock, scraping up browned bits. Add lemon juice, Worcestershire sauce, and heavy cream, whisking to form a smooth sauce. Taste and adjust seasoning as needed.
Return the shrimp to the skillet, tossing to coat in the sauce. Add parsley and a final squeeze of lemon juice.