Heat a large skillet over medium-high heat. Add the olive oil, shallot and garlic. Cook, stirring often with a wooden spoon, until the shallots are soft and fragrant, about 2 minutes. Add the lemon slices and cook until they begin to brown, about 1 minute longer, then stir in the shrimp, paprika, thyme, black pepper and salt. Add the Worcestershire sauce and 3 tablespoons water and bring the liquid to a simmer.
Cook, stirring often, until the shrimp are beginning to turn pink, about 2 minutes. Add the butter cubes and swirl the pan to combine. Allow the sauce to simmer until the shrimp are pink and just opaque all the way through, another 3 to 4 minutes. Serve with lots of napkins and some crusty bread for sopping up the sauce.
Ground, dried thyme can be purchased in the grocery store, or, simply use a mortar and pestle or a spice grinder to pulverize dried thyme into a powder.