Pat the shrimp dry and toss with 1/2 teaspoon of the kosher salt and 1 teaspoon of the Cajun seasoning; refrigerate while you start the grits (about 15 minutes).
Bring the chicken stock to a gentle simmer in a medium saucepan. While whisking, slowly rain in the grits to prevent lumps. Reduce heat to low, cover slightly ajar, and cook, stirring every few minutes, until thick and creamy, 25–35 minutes.
Off the heat, stir the butter and Parmesan into the grits until glossy. Season with the 3/4 teaspoon kosher salt (or to taste), cover, and keep warm on the lowest heat.
Set a large skillet over medium heat. Cook the pancetta until the fat renders and the cubes are crisp, 5–6 minutes. Scoop to a plate, leaving the drippings in the pan.
Increase heat to medium-high. Add the mushrooms in an even layer and cook undisturbed until well browned on one side, about 3 minutes. Stir and cook 2–3 minutes more until tender; if the pan looks dry, add a teaspoon of olive oil or a knob of butter.
Stir in the shallot, garlic, and chopped thyme; cook until fragrant and lightly golden, 1–2 minutes. Sprinkle in the remaining 1/4 teaspoon Cajun seasoning and a pinch of the reserved kosher salt. Pour in the white wine, scraping up browned bits, and simmer until reduced by about half, 2–3 minutes.
Push the mushrooms to the edges of the skillet. Add the shrimp in a single layer and cook until just turning pink on the bottoms, 45–60 seconds; flip the shrimp.
Add the brandy and let it bubble for 1–2 minutes until slightly syrupy (carefully flame if you’re comfortable). Return the pancetta to the pan and toss everything together just until the shrimp are opaque and cooked through, about 30 seconds more.
Remove from the heat and stir in the remaining tablespoon of butter, lemon zest, and black pepper. Taste and adjust seasoning with more salt or Cajun seasoning if desired.
Spoon the hot grits into bowls, top with the shrimp, mushrooms, and pan sauce, and finish with green onions.