Make the broth: Place peppers, shallots, garlic, and a pinch of salt in a medium stockpot over medium-low heat. Cook, stirring, until vegetables are translucent, about 5 minutes.
Increase the heat to medium-high; add wine, and bring to a boil. Cook until reduced by two-thirds, about 4 minutes. Add enough water to come up to the level of the peppers. Bring to a simmer. Stir in the star anise, clove, and bay leaves; cook for 15 minutes. Remove from heat, and add thyme. Let stand until room temperature; strain through a damp cheesecloth-lined sieve. You should have about 2 cups. Refrigerate until chilled, about 1 hour. When cold, season with salt.
Make the ratatouille: Bring a large pot of water to a boil. Prepare an ice-water bath; set aside. Cut an x in the bottom of each tomato, and cut out the cores with a paring knife. Drop tomatoes in boiling water, and cook until skins begin to loosen, about 30 seconds. Using a slotted spoon, transfer to ice-water bath until cool enough to handle. Peel off and discard skins. Cut tomatoes in half lengthwise, and remove seeds. Cut tomatoes into a very small dice; set aside.
In a small skillet, heat about 2 teaspoons oil over medium-high heat. Add 1/5 of the shallot, and 1/5 of the garlic. Cook until translucent. Add the tomato; season with salt and pepper. Cook, stirring frequently, until soft, about 1 minute. Transfer to a paper-towel-lined baking sheet to drain. Repeat with remaining shallots, garlic, and vegetables, cooking each vegetable separately.
Combine the cooked, drained, and cooled eggplant, yellow squash, zucchini, and bell pepper in a medium bowl. Add just enough of the tomato to bind the mixture together. Stir in the herbs. Season with salt and pepper; set aside.
In a small saucepan, bring 1 cup of the broth to a simmer. Add shrimp, and remove from heat. Let stand until room temperature. Transfer to refrigerator until chilled, about 30 minutes. Remove and drain on a paper-towel-lined plate.
Place a spoonful of ratatouille in the bottom of two soup bowls. Top each with 2 shrimp. Garnish each bowl with a sprig of thyme. Pour 1/2 cup remaining chilled broth into each bowl. Serve immediately.