Heat oven to 400°F. Line a rimmed sheet pan with foil and lightly oil it.
Wipe mushrooms clean. Twist out stems and finely chop the stems; keep caps whole.
Warm butter and 1 tbsp olive oil in a skillet over medium heat. Add shallot and chopped stems; cook until moisture evaporates, 5–6 minutes.
Stir in garlic and Worcestershire; cook 30 seconds. Scrape mixture into a bowl to cool slightly.
Mix cream cheese, 1 cup cheddar, panko, parsley, lemon zest, salt, pepper, and paprika in the bowl. Fold until combined.
Brush mushroom caps with remaining olive oil and arrange hollow-side up on the pan.
Spoon filling into caps, mounding slightly. Sprinkle tops with remaining cheddar.
Bake 14–18 minutes until caps are tender and tops are golden; broil 1 minute if you want extra color. Rest 5 minutes before serving.