Baked Stuffed Shrimp

24 jumbo shrimp
1 medium onion, minced
1 green pepper, chopped
6 tablespoons butter, divided
1 cup fresh crab meat or 1 (7 1/2 ounce) can
1 teaspoon dry mustard
Paprika
1 teaspoon Worcestershire sauce
1/2 teaspoon salt
2 tablespoons mayonnaise
2 tablespoons flour
1 cup milk
1 tablespoon sherry wine, or more
Grated Parmesan cheese

Clean and remove heads and shells from shrimp, leaving tails. Split shrimp and open flat. Saut