Melt shortening in a large saucepan over medium heat; add flour, and stir until smooth. Cook, stirring constantly, 10 minutes or until roux is the color of a copper penny. Stir in onion, green pepper, and celery; cook until tender.
Add clam juice to vegetable mixture and cook, stirring constantly, until thickened and bubbly. Stir in tomatoes, shrimp, wine, and seasonings; cook 20 minutes over low heat. Remove and discard bay leaves.