Heat a large skillet over medium-high heat. Add the olive oil, 1 tablespoon of butter, the shrimp and Cajun seasoning. Cook for about 4-5 minutes, or until cooked through. Remove the shrimp from the skillet and set aside.
To the same skillet, add the remaining 1 tablespoon of butter, zucchini, and wine. Stir, and cook until wine evaporates, about 5-6 minutes.
Add the roasted peppers and garlic. Cook for about 3-4 minutes. Season with salt and pepper to taste.
Return the shrimp to the skillet. Add the heavy cream, Parmesan, and parsley. Stir everything well, and cook for another 3-4 minutes.