In a large, oven-proof paella pan or wok, heat the olive oil over a gas grill set to medium-high heat.
In a medium mixing bowl, combine the shrimp and juice of ½ a lemon and season with salt and pepper. Add shrimp to heated paella pan and cook a few minutes, stirring occasionally, until shrimp begins to turn pink and opaque. Add the lap cheong and continue to cook until shrimp looks mostly cooked through.
Move shrimp and lap cheong to the edge of the pan and add mushrooms, snap peas and bell peppers to the center. Cook these vegetables, stirring every so often, for about 4 minutes.
Add tomatoes, garlic and one teaspoon salt to mixture in center of pan and stir until slightly thickened, about 6 minutes. Sprinkle with smoked paprika and cook, without stirring, for one minute before stirring the proteins on the edges of the pan back into the mixture. Stir in stock and saffron.
Turn grill heat to high, cover the grill with a lid, and bring the mixture to a boil. This may take up to 20 minutes depending on your grill. Once mixture is boiling, turn heat back to medium-high and sprinkle rice evenly into the pan. Stir until all rice grains are submerged.
Cook for 10 minutes, stir, and then stir. Turn heat down to medium and cook for 10-15 minutes more, stirring at 5-minute intervals, until liquid is absorbed and rice is al dente.
Using potholders, carefully remove pan from the grill and let stand for about 5 minutes before serving.