Preheat your oven to 375°F (190°C). Bring a large pot of salted water to a boil and cook the penne pasta according to package instructions until al dente. Drain and set aside.
In a large skillet, heat the olive oil over medium heat. Add the diced onion and sauté until translucent, about 3-4 minutes. Add the minced garlic and diced bell pepper, cooking for another 2-3 minutes until fragrant and softened.
Toss the peeled and deveined shrimp with the Cajun seasoning, salt, and pepper. Add the shrimp to the skillet and cook for 2-3 minutes on each side until pink and opaque. Remove the skillet from heat once cooked.
Pour the heavy cream into the skillet with the shrimp and vegetables. Stir in the grated Parmesan cheese until melted and combined into a creamy sauce. Adjust seasoning with salt and pepper as needed.
Add the cooked penne pasta to the skillet and toss gently to coat all the pasta with the creamy Cajun sauce and shrimp mixture.
Transfer the pasta mixture to a greased baking dish. Sprinkle the shredded mozzarella evenly over the top. Bake in the preheated oven for 15-20 minutes, until the cheese is melted, bubbly, and golden brown on top.
Remove from the oven and sprinkle with freshly chopped parsley for a pop of color and fresh flavor. Serve warm and enjoy!