Sauté shrimp, onion, and garlic in shortening in a large skillet about 15 minutes over medium heat.
Sprinkle water over bread; mash and add to shrimp mixture. Add next 8 ingredients; simmer 10 minutes.
Place 4 fillets on a large broiler pan; evenly spoon one-fourth of stuffing mixture on each fillet. Top with reserved fillets, and fasten with wooden picks. Pour Creole Sauce over stuffed fillets.
Bake at 350° for 30 minutes or until fillets flake easily when tested with a fork.
Transfer stuffed fillets to a large serving platter; garnish with fresh parsley sprigs, if desired.
Note: 1 (5- to 7-pound) red snapper may be substituted for the fillets.