Combine scallops, shrimp, thyme, bay leaf, parsley, peppercorns, salt, water, and lemon juice in a small saucepan and bring to a boil. Reduce heat. Cover and simmer two minutes. Remove parsley, bay leaf, and thyme sprigs and drain but reserve the cooking liquid. Let the scallops cool. Melt 2 tablespoons butter and stir in the flour with a wire whisk. When blended, add the fish liquid (about 1 1/2 cups), stirring vigorously with a whisk. Remove the sauce from the heat and beat vigorously with an electric beater. Add the remaining butter a little at a time (it must be added very gradually). Beat in the egg yolks, and continue beating until cool. Add cayenne; taste and adjust seasoning. You may wish to add a bit more lemon juice. Spoon a little of the mixture into 12 to 16 small scallop shells or 6 to 8 large scallop shells or ramekins. Top with equal parts of scallops and shrimps. Cover with the remaining sauce, and sprinkle with Parmesan cheese. Bake 5 to 10 minutes, or until bubbling and golden brown. If necessary, glaze at the last minute under the broiler.
