Place bacon in large saute or braising pan and cook over medium-high heat until the fat is rendered. Meanwhile, bruise the whole thyme sprigs by lightly pounding with the side of the wide end of a chef's knife. Remove the bacon with a slotted spoon and place on a paper-towel-lined plate and set aside. Leave the bacon grease in the pan for cooking the vegetables.
Add the bruised thyme, onions and bell peppers to the bacon grease. Sprinkle liberally with salt and black pepper. Stir to coat with the bacon grease and spread the vegetables evenly across the bottom of the pan. Cook until the peppers and onions are nicely browned. Add the butter and allow it to melt. Add the mushrooms, garlic, tomatoes and reserved bacon and another sprinkling of salt and black pepper. Cook until the mushrooms and tomatoes have cooked down and given off their juices.
Deglaze the pan with the coffee and stir to scrape up cooked-on bits. Allow the coffee to cook down until reduced by half, and then add the chicken broth and hot pepper sauce. While the chicken broth is coming to a simmer, begin pulling the thyme sprigs from the pan, scraping the stems with the edge of a spoon to remove the leaves that haven't yet fallen off. Discard the stems.
When the mixture comes to a simmer, mix together the Madeira and cornstarch, and then add into the pan. Cook until thickened to a sauce-like consistency. Taste for seasoning and adjust with salt, black pepper or hot pepper sauce. Stir in the peeled shrimp and cook until they just turn pink, about 2 minutes. Serve over creamy grits.
NotesThis recipe was provided by a chef, restaurant or culinary professional and may have been scaled down from a bulk recipe. The Food Network Kitchens chefs have not tested this recipe, in the proportions indicated, and therefore, we cannot make any representation as to the results.