Place water in a large Dutch oven; bring to a boil. Stir in shrimp, and cook over high heat 2 minutes. Remove shrimp from cooking liquid with a slotted spoon, reserving cooking liquid in Dutch oven; rinse shrimp with cold water. Set shrimp aside in refrigerator.
Add onion, celery, 2 cloves chopped garlic, 3 tablespoons parsley, lemon rind, juice, and thyme to shrimp cooking liquid. Cover and cook over medium heat 2 hours, stirring occasionally. Remove from heat, and cool slightly.
Finely chop 1 1/4 cups reserved cooked shrimp; set aside in refrigerator. Combine remaining reserved shrimp and 2 cups shrimp cooking liquid in container of an electric blender; process until smooth. Repeat procedure with remaining shrimp cooking liquid and vegetables. Return pureed mixture to Dutch oven; set aside.
Sauté green pepper, green onion, remaining parsley, and 1 clove chopped garlic in 2 tablespoons butter; remove from heat, and cool slightly. Stir in chopped shrimp, bread crumbs, egg yolk, 1/4 teaspoon salt, and 1/4 teaspoon pepper; shape shrimp mixture into 12 balls. Place shrimp balls on a greased baking sheet, and sprinkle with paprika. Bake at 350° for 10 minutes. Set shrimp balls aside and keep warm.
Melt remaining butter in a small skillet over low heat; add flour and cook, stirring constantly, until roux is the color of a copper penny. Stir roux, remaining salt and pepper, and red pepper into bisque; cook over low heat until bisque is thoroughly heated. Remove from heat, and stir in whipping cream.
Place shrimp balls in individual soup bowls; ladle bisque over balls. Serve immediately.