Bring a large pot of well‑salted water to a boil. Add the potatoes and cook for 10–12 minutes, until just tender but not falling apart. Add the corn for the last 4–5 minutes. Drain very well and let sit a minute so excess moisture steams off.
While the potatoes and corn cook, melt the butter in a large skillet over medium heat. Add the onion and cook, stirring, until softened, about 4 minutes. Add the garlic and cook 1 minute. Stir in the Old Bay seasoning and cayenne; cook about 10 seconds until fragrant.
Whisk in the heavy cream and remove from the heat. Stir in the parsley.
In a large foil pan (about 15x10-inch) or 9×13 baking dish, combine the drained potatoes, corn, sausage, lemon slices, and raw shrimp. Pour the butter sauce over the top.
Cover the pan with foil and bake for 15-20 minutes, until the shrimp are pink and opaque and everything is hot and bubbling around the edges.
Right out of the oven, stir everything once more so the potatoes, corn, sausage, and shrimp catch the juices at the bottom of the pan.
Salt to taste. Finish with more parsley and serve with extra lemon wedges.
Notes
Storage: Refrigerate leftovers in an airtight container within 2 hours of cooking and eat within 2 to 3 days. Reheat gently, covered in a 425°F (220°C) oven or in the microwave at 50% power, just until the shrimp are warm so they don't toughen.Shrimp: Use raw shrimp, not pre-cooked, so they stay juicy. If using frozen, thaw fully and pat dry before adding.Pan: A large baking dish or foil pan (about 15x10-inch / 38x25 cm) gives everything room. A 9x13-inch (23x33 cm) dish works but runs crowded with the full batch.