In a large skillet over medium-high heat, fry the bacon until crisp, about 8 minutes. Add the onions, salt, and cayenne and cook, stirring, for 2 minutes. Add the garlic and butter, and cook, stirring, for 2 minutes until the butter melts. Add the flour and, stirring slowly and constantly, cook for 2 minutes. Add the milk and wine and stir to blend. Reduce the heat to medium, then add the mushrooms and shrimp. Stir and fold to mix and cook until the mixture is very thick, about 12 minutes. Add the lemon juice, green onions, and parsley and stir to mix well. Remove from the heat, add the beaten egg yolks, and blend well. Let cool to room temperature.

Preheat the oven to 400°F.

Arrange the reserved oyster shells on a bed of rock salt in four pie pans or on a large baking sheet. Put an oyster in each shell and top it with about 2 heaping tablespoons of the sauce. Or, the oysters can be put in a shallow pan (without the shells and rock salt) and topped with the sauce to bake. Bake until the sauce is delicately browned and the oysters begin to curl at the edges, about 20 minutes. Serve hot.