In a skillet over medium heat, add 2 tbsp. butter. When melted and starts sizzling, add shrimp and cook until they just turn pink.
Transfer to a cutting board and allow to cool before cutting them into tiny pieces; set aside.
In the same skillet, add the remaining 1 tbsp. butter. Add shallots and red peppers; season with ground sea salt. Sauté for 2 minutes.
Add garlic and sauté 30 seconds. Stir in flour and cook for 1 to 1:30 minutes.
Pour in heavy cream, and season with Old Bay, smoked paprika, dried thyme leaves, freshly ground mixed peppercorns, and lemon zest; mix well. Turn off the heat and add chopped shrimp; stir until evenly blended.
Transfer the mixture to a bowl and allow to cool for 15 minutes before covering and transferring to the fridge for 2 hours.
A couple hours later, in a heavy bottom skillet, bring the oil temperature to 375ºF. In a shallow dish, beat egg with milk; set aside. In another shallow dish, add finely ground breadcrumbs.
Using a 2-inch portion scoop, divide the shrimp mixture into 8 equal balls.
Working with one at a time, dredge in the breadcrumb mixture making sure it’s entirely covered, shaking off any excess. Place in the egg mixture and ensure it’s well coated. Return the croquette to the breadcrumbs and evenly coat again. Transfer to a plate while doing the others.
Without crowding, carefully place croquettes in the oil and fry them until golden brown, about 3 minutes, moving them around.
Transfer them onto a plate lined with paper towels to absorb any excess oil. Set aside while frying the others. Make 8, 2-inch croquettes.