Peel shrimp and reserve shells. Chop shrimp into bite-sized pieces. If you want, leave one whole (not chopped up) for each serving.
In a large pot melt butter over medium heat. Add shallots, carrots, and shrimp shells. Saute for 5 minutes.
Add tomato paste. Stir and saute for 20-30 seconds.
Pour in clam juice and water. Add bay leaf. Bring stock to a boil and then lower to a gentle simmer. Simmer for 30 minutes. Pour finished stock through a fine mesh strainer and into a bowl. Discard the solids.
Add pancetta to the now empty pot and cook on medium heat until the pancetta is browned and you've rendered the fat. If you don't have much fat (a tablespoon or less), add in a tablespoon of butter.
Whisk in flour and cook 2 minutes, whisking frequently.
While whisking, pour in bourbon and the shrimp stock. Bring to a simmer and let bubble for 2 minutes while whisking frequently.
Add cream and cayenne and bring back to a simmer.
Add shrimp. Remove pot from heat and let sit 2-3 minutes, or until they are firm and pink. If you left any shrimp whole, fish them out and set them aside for a moment.
Taste the soup and add salt and pepper as needed. The ladle a portion into each bowl. Top with chives and any reserved shrimp.