Peel and devein shrimp, leaving the tails on. Butterfly each shrimp along the outside curve. Open shrimp flat and place butterflied-side down in an ungreased 15x10x1-in. baking pan.
In a small bowl, combine the egg, bread crumbs, mayonnaise, lemon juice and seasonings. Stir in crab. Place 1 tablespoonful of mixture over each shrimp; sprinkle with cheese and paprika. Bake at 350° for 9-11 minutes or until shrimp turn pink. Serve warm.