In a small saucepan, combine broth and reserved shrimp shells. Bring to a gentle simmer and cook for 5 minutes. Remove from heat and let steep for 10 minutes. Strain and set aside.
In a large saucepan, bring the milk and 2 cups water to a boil over medium heat. Gradually add the grits, whisking constantly, and reduce the heat to low. Bring mixture to a low simmer and cook, stirring and scraping the bottom frequently with a wooden spoon, for 10 to 15 minutes, or until the grits are soft and have thickened. Stir in the salt, cheese and pepper. Remove from heat and cover to keep warm.
In a large skillet, heat oil over medium-high heat. Add sausage and cook, stirring, until browned. Transfer to a plate. Add shrimp and cook, stirring frequently, until lightly browned on the outside. It may be slightly translucent on the inside. Transfer shrimp to a plate. Stir in shallot, garlic and cayenne and cook until shallot and garlic are softened, about 2 minutes.
Add the strained broth to the hot skillet and scrape up any browned bits on the bottom of the pan. Stir in sausage and shrimp. Lower heat to medium-low and whisk in butter until fully melted and emulsified with the sauce and the shrimp is fully cooked. Remove from heat and whisk in lemon juice. Stir in parsley and chives. Spoon grits into bowls and top with shrimp, sausage and sauce. Garnish with chopped chives and serve.
Nutrition information per serving:
Calories545Fat34 gSodium1,230 mg