Place cleaned peppers on baking sheet lined with a metal rack. Place about 6 inches under broiler set to high. Broil for 10-12 minutes per side. Remove from broiler and place in plastic bag to steam and cool.
While peppers are roasting, clean and peel shrimp. Rinse under cold water and keep chilled until ready to use. Transfer shells to a filled with 4 cups of salted water. Cook at medium until shells turn pink. Remove from heat and reserve.
In a large pot, at medium heat, cook chopped bacon until crispy.
While bacon cooks, prep all the vegetables.
When ready, using a slotted spoon, remove the bacon onto a plate lined with paper towels. Reserve for garnish.
In that same pot with bacon grease, add the carrots, celery, bell pepper and bay leaves. Season lightly with salt and pepper and saute for 3 minutes. Add onions and garlic. Saute for three more minutes.
To the pot stir in 1/2 c of all purpose flour. Cook, stirring constantly for 1-2 minutes. Pour in 4 cups of broth. Using a wire mesh strainer, pour in all the broth from the cooked shrimp shells. Mix in the heavy cream and parsley.
Bring up to a boil and cook until potatoes are fork tender. Mix in the 2 cans of baby clams with liquid. Mix in zucchini. Taste for salt and pepper. Mix in a couple of dashes of your favorite hot sauce. If you don't prefer to add any more heat, you could add some apple cider vinegar instead for a touch of acidity.
Once zucchini is tender, mix in all of the reserved shrimp. Remove entire pot from heat after 1 minute. The shrimp will continue cooking in the hot soup for the next 4-5 minutes. Serve right away. Garnish with your favorite shredded cheese, green onions, bacon and more hot sauce. Serve with crusty bread on the side or serve chowder in small bread bowls.