Hi Babs - here is a recipe I posted before. This recipe calls for the shrimp shelled, but I think leaving the shells on as you described is better (keeps shrimps more moist and from curling up so much), so you might want to leave them on. Your description included parmesan cheese, which this recipe doesn't include (Italian recipes won't generally have it with seafood) - but add a little if you want it! Hope this helps:

Baked Stuffed Shrimp
Serves: 4 as a appetizer, 2-3 as a main course

1 lb. extra-large shrimp, shelled and deveined
3 Tablespoons Extra Virgin Olive Oil
1 cup coarse bread crumbs from day old bread (do not use canned DRIED breadcrumbs)
1 garlic clove, crushed through a press
1 tablespoon finely chopped Italian parsley
1 teaspoon grated lemon zest
1 tablespoon fresh lemon juice
4 sprigs parsley

1. Split the shrimp along the backs but not all the way through. Spray a baking pan with olive oil cooking spray. Arrange shrimp on the pan.

2. Heat 2 teaspoons of the olive oil in a large non-stick skillet. Add the bread crumbs and cook, stirring, over medium low heat until the bread is golden. Add 1 tablespoon of the parsley, the garlic and lemon zest; cook, stirring, 1 minute. Remove from heat.

3. Preheat oven to 450°F. Carefully pack the bread mixture into opening in each shrimp, dividing evenly. Brush or drizzle each shrimp with the remaining oil. Bake until shrimp are cooked through, about 5 minutes. Sprinkle with lemon juice before serving.