Shrimp and sauce:
Heat 2 tablespoons oil in a large saucepan over medium-high heat. Add bacon and tasso and cook, stirring often, until bacon is crisp and fat is rendered, 5 to 7 minutes.
Using a slotted spoon, transfer to a plate; set aside.
Add 1 tablespoon oil to drippings in saucepan and heat over medium-high heat. Add reserved shrimp shells and cook, stirring and mashing shells occasionally, until shells are browned and softened, about 4 minutes. Add shallots and garlic and cook, stirring often, until softened, about 2 minutes. Add thyme sprig and broth. Bring to a boil, reduce heat, and simmer until reduced by half, 15 to 20 minutes. Add orange and lemon juice, wine, Worcestershire sauce, hot sauce, and sugar. Bring to a boil, reduce heat, and simmer until thickened and reduced by half, 20 to 25 minutes. Strain mixture through a sieve into a medium saucepan; discard solids.
Cover and keep sauce warm.
Heat butter and remaining 1 tablespoon oil in a medium skillet over medium-high heat. Season shrimp with salt and pepper. Add shrimp to skillet and cook until golden brown and opaque in the centers, about 1 minute per side. Add peas and cook, tossing occasionally, until heated through, about 1 minute. Add reserved bacon and tasso and toss to coat.
Do ahead: Bacon and tasso and sauce can be made 2 hours ahead. Let stand at room temperature; reheat before using.
Grits and assembly:
While sauce is cooking, bring 4 cups water to a boil in a large saucepan. Add 2 teaspoons salt and slowly whisk in grits. Reduce heat to medium-low and cook, stirring often, until thick and creamy, 5 to 7 minutes. Stir in mascarpone and butter. Season with salt.
Serve grits topped with shrimp mixture and warm sauce.