Position oven rack in top of the oven and preheat the broiler to high. Add crab, breadcrumbs, mayonnaise, parsley, lemon zest and juice, garlic, 2 Tbsp. steak sauce, and 1/2 tsp. salt to a large bowl and stir until well combined.
Cut a deep slit down the ridged back of each shrimp and open it up like a book. Put the shrimp on a baking sheet and press the tails down firmly so they lay flat. Top evenly with crab mixture, then lay a piece of bacon across the crab mixture on each shrimp, tucking the ends under the shrimp and making sure they do not overlap.
Broil until the bacon starts to crisp, about 10 minutes. Remove from the oven, brush with remaining 1 Tbsp. steak sauce and continue to broil until the bacon is slightly charred in a few spots, about 2 minutes more depending on your broiler.