For the shrimp stock: toss the shrimp shells in a large pot and fill with water. Bring the water to a boil, turn off the heat and let sit for at least 15 to 20 minutes, although longer is fine. Strain the shells and discard.
Coat a large, wide pot with olive oil and bring to medium-high heat. Add the andouille and cook until the sausage starts to brown, 4 to 5 minutes. Add the peppers, celery, and onions to the pan; season with salt and a pinch crushed red pepper. Cook until the mixture has softened and is very aromatic, 7 to 8 minutes. Toss in the garlic and cook for 2 to 3 more minutes. Add the tomatoes and cayenne. Stir in the rice.
Add 4 cups of the shrimp stock, the bay leaves and the thyme bundle to the pot. Season with salt and taste it to make sure you are on the way to something delicious. Cover and cook over medium heat for 25 minutes.
Stir in the shrimp and cook until they turn pink, another 5 to 7 minutes. Serve garnished with chopped scallions.