Heat oil in a large, heavy saucepan.

Brown sausage in oil on both sides, then remove sausage to a bowl, set aside.

Add shrimp peelings to the pan drippings and brown the shells, stirring until they turn pink and brown. 

Add butter, green onions, garlic, Worcestershire sauce, soy sauce, bay leaves, and water to the shells, then cut the lemon in half and squeeze the juice into the sauce before tossing the squeezed lemon halves in with the rest of the ingredients.

Bring sauce to a simmer on medium-low heat for about 20 minutes or until the sauce starts to thicken.

Drain the sauce ingredients through a sieve from the pan over a bowl, reserving the sauce and pouring it back into the pan.  (The sauce should measure 1/3 to 1/2 cup, add a little water if needed to bring to this measurement.)

Heat the sauce to a simmer and add the shrimp, cooking for 1 minute on each side.

Add sausage, mushrooms, and seasoning to cook for 3 more minutes, often stirring until the shrimp are done, and the mushrooms start to shrink.

Serve hot with sauce in a bowl and a piece of French bread to sop up the drippings or serve over cooked grits.