Place the sausages in a large skillet and add 1/2 inch of water and 1 tablespoon of the oil, 1 turn of the pan. Bring the water to a boil over high heat. Reduce the heat to medium and cook off the liquid, 8 to 10 minutes. When the water has cooked off, the oil will begin to crisp the casings. Cook the sausages until browned all over, 2 minutes.
Heat another large skillet over medium to medium-high heat and add the remaining 1 tablespoon of oil, 1 turn of the pan, and the butter. When the butter melts into the oil, add the bay leaf, garlic, onion, celery and bell pepper. Season the veggies with the thyme, salt and lots of pepper. Cook until tender, 5 minutes. Add the flour to the skillet and cook for 2 minutes.
Whisk the beer into the pan and cook it off, about 1 minute. Whisk in the broth, tomato sauce, hot sauce and Worcestershire sauce and bring to a bubble. Reduce to a simmer. Add the shrimp and cook until pink, 2 to 3 minutes.