Heat a cast-iron skillet to medium-high heat. Once hot, place the bacon in the pan and cook until deeply brown and crisp. Remove from the skillet and add to a paper towel-lined plate. Cool the bacon to room temperature, set aside.
Prepare the shrimp by removing their tails, rinsing, and drying with a paper towel. In a small bowl, combine the shrimp, olive oil, Cajun seasoning, smoked paprika, and lemon zest. Add a pinch of kosher salt and black pepper, then toss to coat. Cover the bowl and let the shrimp marinate for 10 minutes.
Bring the cast-iron skillet (with the bacon grease still in it) back to medium-high heat, then carefully toss in the shrimp. Be sure to spread out the shrimp a bit. Cook for about 2 minutes on each side or until plump and pink. Remove from heat and transfer the shrimp to a small heat-safe bowl. Set aside.
As you wait for the shrimp to cool down, make the egg salad binder. Add mayonnaise, yellow mustard, lemon juice, bacon grease (remaining from cooking), and hot sauce to a bowl, whisking to combine. Cover the bowl and refrigerate until needed.
Once cool enough to handle, chop the cooked shrimp into smaller pieces if desired. I cut each one into 3-4 chunks.
In a large bowl, combine the eggs, avocado, shallots or red onion, and parsley. Crumble the bacon over the top of the bowl, pour in the sauce, and gently toss to combine – then finally, carefully fold in shrimp. Season to taste with salt and pepper and sprinkle with microgreens and any additional parsley for garnish.
Serve in a big bowl as a side or pile onto your bread of choice!