Preheat the oven to 375°F.
Rub a little olive oil on the inside of spaghetti squash and season well with salt and pepper. Place the squash with the inside facing down on a parchment paper lined baking sheet and bake in the oven for 20 to 25 minutes until soft (pierce the skin with a fork to check the tenderness). Once soft, using a fork, scrape the inside to shred the squash. Season with salt to taste.
Season the shrimp well with salt and pepper.
Heat the remaining oil in a non-stick pan over medium heat. Once hot, add in the mushrooms, garlic, and shallots; sauté for 4 to 6 minutes until the mushrooms become soft. Add in the shrimp and sauté for 2 to 3 minutes more.
Stir in the broth and cream; bring to a simmer. Season with salt and pepper to taste.
Add in the tomatoes and continue to simmer until the sauce starts to reduce and thicken. Once nice and creamy, not watery, remove from heat (the consistency of the sauce should coat the back of a spoon). Stir in the parmesan cheese into the sauce.
Serve with spaghetti squash and bread.