In a large skillet or Dutch oven, melt butter over medium heat.
Whisk in the flour to make a blond roux, stirring constantly for 6–8 minutes until it turns a rich golden color and smells nutty.
Add the onion, bell pepper, and celery (the Cajun "holy trinity").
Sauté for 5–7 minutes, until vegetables are soft.
Stir in the garlic, tomato paste, paprika, thyme, cayenne, white pepper, and bay leaf. Cook for 1 minute.
Gradually stir in the stock, whisking to avoid lumps.
Add Worcestershire sauce, then bring to a simmer and cook for 10–12 minutes until thickened.
Taste and adjust seasoning with salt, pepper, or more cayenne.
Stir in the shrimp and cook for 3–4 minutes, or until pink and just cooked through.
Finish with a squeeze of lemon juice, parsley, and green onions.
Spoon over hot cooked white rice.
Garnish with extra green onions or a few drops of hot sauce.
Want it richer? Add a splash of cream at the end for a creamy version.
Creole-style twist: Include chopped tomatoes for a redder sauce.
Make it ahead: The roux and base can be made ahead—add shrimp right before serving for best texture.