Preheat the oven to 375F.
Place the onions on a baking sheet, drizzle with olive oil and bake at 375F until soft and slighty browned on top (about 30 minutes).
Meanwhile, in a medium pot, heat the cream of celery soup and slowly stir in the milk, then the cheddar cheese. Heat until bubbling, then season with black pepper and parsley; set aside.
In a large saucepan, heat 2 tbsp olive oil. Add the shrimp, italian sausage, bell peppers, oregano, basil and garlic and sautee until proteins are cooked through (about 10 minutes).
To serve, spoon 1/4 of the shrimp mixture into a shallow bowl, add one baked onion half and top with the cream sauce.