In large saucepan, heat milk until almost simmering. Stir in cornmeal until smooth. Stir in shrimp, bell pepper, parsley, onion, shortening, and pepper sauce. Bring to a boil over medium heat, cook, stirring constantly, 1 minute longer.
Remove from heat and cool slightly. Stir egg yolks into cornmeal mixture. Beat egg whites until stiff but not dry, fold into cornmeal mixture.
Turn into well-greased 2-quart baking dish and bake in preheated 375 degree oven for 45 to 50 minutes, or until golden brown.
Meanwhile, make sauce. Melt butter in saucepan; blend in flour. Gradually stir in milk and cook over medium heat, stirring constantly, until thickened. Stir in ketchup and worcestershire sauce.
Serve spoon bread with sauce.