Place a large skillet over medium-high heat, and add the 1 tablespoon olive oil. When it is hot, add the sliced chorizo and sauté, turning as necessary, until it begins to brown around the edges on both sides, 4 to 6 minutes. Add the onions and cook, stirring occasionally, until caramelized around the edges and softened, 4 to 6 minutes. Add the garlic and cook, stirring, for 30 seconds. Add 1/4 cup of the sherry and cook for 1 minute.
Add the shrimp, paprika, salt, and pepper and cook, stirring occasionally, until the shrimp are pink and just cooked through, about 4 minutes. Add the remaining 1/4 cup sherry, the remaining 1/4 cup olive oil, and the lemon juice and parsley; stir to combine. When heated through, remove from the heat.
Serve immediately on small plates, with any accumulated cooking juices spooned over the top. Pass the bread at the table.