In a small saucepan, bring the water and milk to a boil, then whisk in the stone-ground grits and sea salt.
Reduce the heat to low, cover, and simmer for 15-20 minutes until the grits are creamy, stirring occasionally to prevent sticking.
Once the grits are cooked, stir in the ghee and keep the pot covered off the heat.
While the grits simmer, heat the olive oil in a large skillet over medium-high heat.
Add the diced onions and bell peppers to the skillet, sautéing until they are softened and slightly charred.
Toss the shrimp with the Cajun seasoning and black pepper, then add them to the skillet with the vegetables.
Cook the shrimp for 2-3 minutes per side until they are pink, opaque, and fully cooked through.
Remove the skillet from the heat and stir in the fresh lemon juice and chopped parsley.
Spoon the warm, creamy grits into a bowl and top with the zesty shrimp and pepper mixture.