Shrimp are a great low-fat protein. Instead of frying them, we bake them at high heat. The cornbread stuffing protects the meat and becomes golden and crisp.
Preheat oven to 500 degrees. In a large skillet, heat oil over medium-high. Add onion and diced celery and saute until softened, 8 minutes. Add garlic and cook until fragrant, 30 seconds; season with salt and pepper. Remove from heat, add broth and cornbread, and stir until combined. Mince 4 shrimp (discard tails) and stir into stuffing along with egg.
Run a paring knife from head to tail along the backs of remaining shrimp, slicing almost completely through. Open, then remove vein with knife. Pack each with about 2 tablespoons stuffing. Brush a rimmed baking sheet with oil and arrange shrimp, stuffing side up. Bake until stuffing is golden and shrimp are opaque throughout, 18 to 20 minutes.
Meanwhile, toss together sliced celery, lettuce, dressing, and blue cheese. Serve alongside shrimp.