Bring water, milk, and salt to a gentle boil in a heavy saucepan with a lid. Whisk in grits and cook according to package directions. They will get tender, thick, and creamy as they cook.
Remove grits from heat and stir in butter and cheddar cheese. Keep warm over low heat. (I make the grits while starting the bacon so everything finished as close together as possible.)
Pat shrimp dry with a paper towel and place in a bowl. Season with Old Bay Seasoning, salt, and pepper, and toss to coat. Set aside.
Cook bacon over medium heat in a large skillet until crisp. Remove bacon to a paper towel-lined plate. Leave bacon grease in the skillet. Once bacon is cool enough to handle, crumble the bacon.
Add onions, green pepper, and garlic to the same skillet. Cook until onions are translucent, about 5 minutes.
Add flour to the veggie and stir to coat. Pour in chicken broth and whisk until thickened.
Whisk in heavy cream, butter, hot sauce, 2 tablespoons parsley, 2 tablespoons green onion, hot sauce, and lemon juice. Let simmer for 1 minute. Turn heat to low and keep warm while you cook the shrimp.
Place a skillet over medium heat. Add olive oil and shrimp and cook until shrimp are pink all the way through, flipping once. Remove shrimp from heat.
To assemble: Spoon a generous helping of cheesy grits into a bowl. Add a ladle of sauce over the grits. Then place a quarter pound of shrimp on top of the sauce. Garnish with crumbled bacon, a sprinkle of parsley, and green onion. Serve immediately.