Place bacon in a large skillet and cook over medium-high heat, turning occasionally, until almost crisp, 5 to 7 minutes. Remove from heat and transfer bacon to a dish, leaving drippings in the skillet.

Whisk 1/4 cup water, cream, lemon juice, and Worcestershire sauce together in a bowl.

Stir 4 cups water, butter, and 1 teaspoon salt together in a pot; bring to a boil. Whisk grits into pot, bring to a simmer, reduce heat to low, and cook until grits are creamy, 20 to 25 minutes. Remove from heat and stir white Cheddar cheese into grits.

Place shrimp in a large bowl and season with Cajun seasoning, 1/2 teaspoon salt, black pepper, and a pinch of cayenne pepper.

Heat skillet with bacon drippings over high heat. Cook shrimp in hot bacon fat in a single layer for 1 minute. Turn shrimp and add jalapeno; cook until fragrant, about 30 seconds. Stir cream mixture, bacon, green onion, and garlic to shrimp mixture; cook and stir, adding water as necessary to thin the sauce, until shrimp are cooked through, 3 to 4 minutes. Remove from heat and stir in parsley.

Ladle grits into a bowl and top with shrimp and sauce.