Preheat the oven to 375°F (190°C). Slice the tops off the cabbages and hollow out the centers to create bowls.
Rub the inside of each cabbage with oil, and season with salt and pepper. Place them in a baking dish.
Heat oil or bacon fat in a skillet over medium heat and sauté onion, bell peppers, and garlic until soft.
Add sliced sausage and cook until browned, then stir in shrimp with Cajun seasoning, paprika, garlic powder, cayenne, salt, and pepper. Cook until shrimp turn pink, about 2–3 minutes.
Fill each cabbage bowl evenly with the shrimp and sausage mixture and add cheese inside if desired.
Cover loosely with foil and bake for 40–50 minutes until cabbage is tender.
Remove foil and bake an additional 10 minutes to develop a roasted finish.
Garnish with chopped parsley or green onions, slice into wedges, and serve hot.