In a small saucepan, bring the water and sea salt to a boil over medium-high heat.
Whisk in the stone-ground grits, then reduce the heat to low and cover the pot.
Simmer the grits for 15 to 20 minutes, whisking occasionally, until the texture is tender and thick.
While the grits cook, pat the shrimp dry with a paper towel and toss them in a bowl with the Cajun seasoning and black pepper.
Heat the avocado oil in a large skillet over medium-high heat.
Add the diced onion and bell pepper to the skillet, sautéing for 3 to 4 minutes until they begin to soften.
Add the minced garlic and the seasoned shrimp to the skillet, cooking for 2 minutes per side until the shrimp are pink and opaque.
Once the grits are fully cooked, remove them from the heat and stir in the Greek yogurt until the mixture is smooth and creamy.
Divide the grits into serving bowls and top with the sautéed shrimp and vegetable mixture.
Garnish with fresh chopped parsley and a squeeze of lemon juice before serving.