Peel shrimp, reserving shells, and devein, if desired. Set meat aside.
Combine shrimp shells and chicken broth in a large Dutch oven; bring to a boil. Reduce heat, and simmer, uncovered, 20 minutes. Pour mixture through a wire-mesh strainer into a bowl, discarding shells. Set broth aside, and keep warm.
Cook sausage in a Dutch oven over medium heat until browned. Remove sausage; set aside. Measure drippings, adding enough oil to measure 1/2 cup. Cook oil mixture and flour in Dutch oven over medium-low heat about 35 to 40 minutes, whisking constantly, until roux is chocolate colored.
Stir in onion and next 3 ingredients; cook 7 minutes or until vegetables are tender, stirring often. Gradually stir in warm broth; bring mixture to a boil. Stir in bay leaves and next 4 ingredients; reduce heat, and simmer, uncovered, 50 minutes, stirring occasionally.
Stir in shrimp, sausage, and green onions; cook 5 to 7 minutes or until shrimp turn pink. Discard bay leaves. Serve over hot rice.