Peel and devein the shrimp, reserving all shells for stock. Keep shrimp chilled.
Make a quick shrimp stock: Combine the shrimp shells, water, and 1 bay leaf in a pot. Bring to a simmer and cook gently for 30–45 minutes; the stock should smell sweet and briny. Strain and discard shells and bay leaf, then measure out 6 cups of hot stock for the gumbo (reserve any extra). If using oysters, strain their liquor through a fine sieve and add it to the stock.
Make the roux: In a heavy 6–8 quart pot or Dutch oven over medium heat, heat 0.5 cup vegetable oil. Whisk in the flour and cook, stirring constantly, until the roux is dark brown, the color of milk chocolate, 25–35 minutes. Adjust heat as needed to prevent scorching.
Add the onion, celery, and green bell pepper to the roux. Cook, stirring often, until softened and glossy, 5–7 minutes.
Stir in the garlic and cook until fragrant, about 1 minute.
Gradually whisk in 6 cups hot shrimp stock until smooth. Add the remaining 2 bay leaves, dried thyme, black pepper, cayenne pepper, Worcestershire sauce, and kosher salt. Bring to a gentle boil, then reduce to a simmer and cook uncovered, stirring occasionally, 30 minutes until slightly thickened and flavors meld.