Place bacon in a large, heavy pot over medium-high heat, and cook until evenly brown. Remove, and set aside. Drain drippings, reserving 3 tablespoons in the pot.
Place onion in the pot with the bacon drippings, and cook 5 minutes over medium heat, stirring constantly, until tender. Mix in the rice, 2 1/4 cups broth, tomatoes with juice, lemon juice, and Worcestershire sauce. Season with salt, nutmeg, cayenne pepper, and black pepper. Bring to a boil, reduce heat to low, cover, and simmer 20 minutes.
Stir the cooked bacon, remaining 1 cup broth, and shrimp into the pot. Continue cooking 10 minutes, uncovered, over low heat. Sprinkle with parsley to serve.