Preheat oven to 375 degrees. Lightly grease a 1 1/2 - 2-quart baking dish. Set aside.
Cook the shrimp: Place a colander in the sink to drain the shrimp. Then, bring a large, heavy saucepan of well-salted water (about 2 teaspoons) to a boil. Turn off the heat, add the shrimp, and cook for 10-15 seconds, or until they turn pink, stirring once or twice. Drain immediately into the colander and cool quickly under cold tap water. Alternatively, prepare an ice bath and cool the shrimp in that. Drain the shrimp and pat dry.
In a heavy saucepan, cook the bacon over medium heat until browned and crispy. Transfer the bacon to a paper towel-lined plate with a slotted spoon, reserving the drippings in the saucepan.
Keep the heat on medium and add the butter to the bacon drippings. When melted, add the scallion, red bell pepper, and jalapeño pepper. Cook for 4-5 minutes or until softened.
Stir in garlic, diced tomatoes with chiles, and chicken broth (or fish stock). Bring to a boil.
Slowly stir in the grits. Return to a boil.
Reduce the heat to low. Simmer, stirring occasionally, for 5-7 minutes or until thickened. Remove from heat and cool 15 minutes.
Taste and season to taste with salt and black pepper.
Whisk the cornstarch into the egg, then stir it into the grits and fully incorporate.
Fold in the shrimp, bacon, and 1 cup cheese. Transfer to the prepared baking dish with more grits on the top than shrimp. Sprinkle with the remaining 1/2 cup cheese.
Bake for 30-35 minutes or until heated through and bubbling. The casserole should be set around the perimeter with an internal temperature of at least 165 degrees. Let stand 5-10 minutes before serving