Preheat your oven to 425°F (220°C) and place the unbaked pastry shell on a sturdy baking sheet.

In a skillet over medium heat, melt butter and sauté onion, green bell pepper, and celery for 5-7 minutes until soft.

Add shrimp to the skillet and cook for 3-5 minutes until shrimp are pink and opaque. Drain any excess liquid.

In a mixing bowl, whisk together mayonnaise and milk, adding eggs, lemon juice, Worcestershire sauce, salt, black pepper, and cayenne pepper until smooth.

Spread cooked shrimp and sautéed vegetables in the pastry shell, pour custard mixture over, and sprinkle cheese on top.

Bake in the preheated oven for 30-35 minutes until golden brown and filling is set. Keep an eye on it towards the end.

Let the pie rest for about 10 minutes before slicing and serving.