Heat ghee in large soup pot over medium-high heat, until fragrant.
Add sausages; sear for approx. 5 minutes, turning frequently, until deep brown on all sides. Place on a paper towel-lined plate. Cool, slice into 1⁄4-inch rounds. Set aside.
Add celery, onion, bell pepper, and garlic to same soup pot; cook over medium-high heat, stirring frequently, for 8 to 10 minutes, or until vegetables are very soft and brown.
Add tomato puree; cook, stirring occasionally, for 8 to 10 minutes, or until it becomes very thick and darkens. (Don’t worry if it sticks and browns on the bottom of the pan, just don’t let it turn black.)
Add broth mixture, okra, sliced sausage, Cajun Rub, bay leaves, Worcestershire sauce, salt, and espresso powder. Bring to a boil. Reduce heat to low; gently boil, stirring occasionally, for 30 minutes.
Remove bay leaves. Add cornstarch slurry and shrimp. Bring back to a boil, stirring occasionally. Remove from heat. Cover and let sit for 10 minutes.