Drain oysters, reserving 3/4 cup liquor; set aside.
Melt butter in a large heavy skillet; add flour, stirring to blend. Sauté green onion in butter mixture until tender. Stir in mushrooms, parsley, wine, and reserved oyster liquor; simmer over medium heat until thoroughly heated.
Beat yolks. Add a small amount of hot mixture to yolks; add to remaining hot mixture, stirring well. Cook over low heat, stirring frequently, until mixture thickens. Remove from heat, and stir in shrimp, salt, and pepper. Set aside.
Arrange oysters in 12 individual baking shells or ramekins. Spoon 1/4 cup shrimp mixture into each. Combine breadcrumbs and cheese; sprinkle evenly over mixture in shells. Bake at 350° for 15 minutes or until lightly browned on top. Serve immediately.