Add the olive oil to a medium saucepan set over medium heat. Stir in the bell pepper, onion, celery, garlic, cayenne pepper, salt and pepper and cook, stirring frequently until the onion is just tender, about 2 minutes. Add the sausage and cook, stirring occasionally, until the sausage is lightly browned, about 5 minutes. Sprinkle the flour on top of the sausage and vegetables and stir until well coated. Cook until the flour coating on the vegetables has turned lightly brown, about 2 minutes. Stir in the chicken stock and thyme and simmer for about 10 minutes.
Add the shrimp and onion and cook until the shrimp has turned opaque and pink about 3 minutes.