PREHEAT OVEN TO 400°. PAT THE SHRIMP DRY WITH A PAPER TOWEL. THEN WITH A PARING KNIFE BUTTERFLY THE SHRIMP.
TRANSFER THE SHRIMP TO A LARGE BOWL, DRIZZLE WITH OIL, SPRINKLE WITH SALT AND PEPPER AND GENTLY TOSS TO COAT.
PLACE THE SHRIMP ON A FOIL COVERED BAKING SHEET.
COMBINE THE CRAB, PARMESAN CHEESE, BREADCRUMBS, MAYONNAISE, BEATEN EGG, GREEN ONIONS, PIMENTO PEPPERS, PARSELY, OLD BAY SEASONING, LEMON ZEST AND JUICE.
GENTLY, FOLD THE INGREDIENTS TOGETHER.
ADD A TABLESPOON-SIZED SPOONFULS OF THE CRAB MIXTURE ON TOP OF EACH SHRIMP, AND BRING UP THE TAIL, TUCKING IT GENTLY INTO THE STUFFING.
BAKE 16-20 MINUTES AND ALLOW TO COOL SLIGHTLY.