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Brush an 18-inch long sheet of parchment paper with the canola oil. Working on 1/2 of the parchment paper, layer the broccoli, carrots, shallots, and then the shrimp. Drizzle with the sesame oil and soy sauce, and season with the pepper, to taste.
Fold the parchment over the contents so that the corners meet. Fold the edges together repeatedly, 4 to 5 times, creasing it at every fold, to make an airtight seal on all sides.
Place the packet on a sheet pan and into the oven and bake for 12 to 15 minutes, until the packets are puffed and the shrimp is cooked through. Remove the baking sheet from the oven and open the packets carefully. Cook's Note: there will be a lot of steam escaping from the packet. Serve immediately.