Put the shrimp shells, milk, cream, parsley, bay leaf, and paprika in a saucepan over high heat.
Bring to a boil, then reduce the heat to medium-low and simmer for 25 to 30 minutes, until the milk has thickened and there is about 1.5 cups (375ml) left.
Strain the milk and set it aside.
Coarsely chop the shrimp.

Clean the saucepan and melt the butter over medium heat.
Cook the onion for 2 minutes or until it’s soft.
Add the flour and continue cooking for 1 minute, stirring gently.
Pour in the milk that was set aside.
Beat constantly with a whisk until everything is well combined.
Bring to a boil, then reduce the heat to medium-low and simmer, stirring occasionally, for 10 minutes or until the sauce is very thick.
There should be about 1 cup (250ml) of sauce.
Add the shrimp and cook for 1 minute or until they turn pink.

Pour the preparation onto a baking sheet lined with plastic wrap. Refrigerate until the preparation is cold and firm.

Divide the preparation into 8 equal portions.
Use your hands to shape each portion into a cylinder about 3″ (8cm) long.
Coat the cylinders with seasoned flour, then dip them in beaten eggs and roll them in breadcrumbs, taking care to maintain their cylindrical shape.
Refrigerate until serving.

Heat about 2″ (5cm) of oil over high heat in a deep saucepan or wok.
When the oil is very hot (about 350F/180C), fry the croquettes a few at a time for 2 or 3 minutes, until they’re hot in the center and golden brown.

Serve the croquettes immediately, arranged on a bed of lettuce, or reheat them later in the oven for 5 to 7 minutes at 350F (180C).