Season the shrimp with salt, pepper and cayenne to taste and set aside. Heat the oil in a large pot over medium heat. Add the okra and sauté for 30 minutes, stirring occasionally. Add the tomato paste, tomato, onion, garlic, celery, and bell pepper and sauté for 15 more minutes.
Add the water, oregano, thyme, and Old Bay. Bring to a boil, reduce heat to low and simmer for 45 minutes. Taste and adjust seasoning to taste. Add the shrimp and simmer for 15 minutes or until shrimp is pink and cooked through. Finally, add the green onion to the soup and stir to incorporate. Serve over rice. Makes 4-6 servings