Start by making the shrimp stock. Warm olive oil in a medium saucepan over medium-high heat. Add the shrimp shells, garlic, black pepper, thyme and bay leaf, and cook, stirring occasionally until the shells are bright red (about 2 minutes). Add water, bring mixture to a boil, reduce heat and simmer until reduced by 1/4 (about 1 hour). Strain and return the shrimp stock back to the saucepan. Keep warm over low heat.
In a large, heavy-bottom pot, warm 1 tablespoon olive oil, and 1 tablespoon butter over medium heat. Add the onion along with a pinch of salt, and cook until the onion is tender but not browned (5 to 6 minutes). After 3 minutes add the garlic and lemon zest. Stir in the rice and cook for 2 minutes, then add the white wine and cook for 1 more minute. Add 1 cup of warm shrimp stock and a pinch of salt, and cook, stirring occasionally, until all of the liquid has been absorbed. Continue adding warm shrimp stock 1/2 cup at a time, waiting until the stock is absorbed before adding again, and stirring frequently to make sure the bottom doesn’t burn. Continue until the rice is cooked through, but still al dente, about 30 – 35 minutes total. You may not use all of the shrimp stock.
During the last addition of stock, stir in shrimp and cook until cooked through (about 2 to 3 minutes). Take the risotto off the heat, fish out strips of lemon zest and stir in Parmesan cheese, 2 tablespoons butter, and lemon juice. Season to taste with salt, black pepper and lemon juice.
To serve, spoon risotto in a shallow bowl and top a scattering of chopped chives, a sprinkling of Parmesan cheese and a few turns of black pepper.