In a large heavy-bottomed pot, whisk together flour and oil until combined. Bring to boiling; reduce heat to medium and cook for 5 minutes, whisking continuously, until reddish-brown in color.
Add onion, green pepper, celery and garlic. Cook 5 minutes, stirring occasionally. Stir in tomato sauce, 1 cup water, Worcestershire sauce and Cajun seasoning; simmer 15 minutes.
Add shrimp and simmer 4 minutes. Stir in parsley.
Serve shrimp over brown rice. Squeeze lemon wedges over each plate. Serve with steamed squash, if desired.