Heat 2 tablespoons of oil in heavy large skillet over medium-high heat. Add shrimp shells; saute until brown, about 5 minutes. Reduce heat to medium-low. Mix in tomato paste. Add broth, then brandy, garlic and thyme. Simmer 20 minutes. Strain into medium saucepan, pressing on solids. Add cream; simmer until sauce is reduced to 1 cup, about 10 minutes.
Heat 1 tablespoon oil in another heavy large skillet over medium heat. Add shrimp; saute until just cooked through, about 2 minutes. Transfer to bowl. Add sausage and onion to skillet; cook until golden, about 4 minutes. Add bell pepper and Old Bay seasoning; saute 3 minutes. Return shrimp to skillet. Add sauce and bring to simmer. Sprinkle with parsley.