Heat oven to 425°F. Line a large rimmed sheet pan with foil and lightly oil it.
Whisk olive oil, lemon juice, garlic, Cajun seasoning, smoked paprika, salt, and pepper in a bowl.
Toss potatoes with about one-third of the mixture on the pan. Spread in a single layer and roast 12 minutes.
Coat peppers, onion, and sliced sausage with another third of the mixture. Add to the pan, stirring with potatoes. Roast 10 minutes.
Pat shrimp dry. Toss with the remaining mixture, then scatter on the pan. Roast until pink and just firm, 6–8 minutes.
Finish with lemon zest and parsley. Toss gently and serve hot.