Preheat oven to 400 degrees. Line a baking sheet with aluminum foil. Cut the ends of the spaghetti squash off. You only need to remove about 3/4-inch. Cut spaghetti squash in half vertically. (See picture above for a visual reference.)
Use a knife and/or a spoon to scoop all the seeds out from the center. Place cut side down on prepared baking sheet. Sprinkle the tops and insides liberally with kosher salt. Let sit 15 minutes. This will remove some of the moisture and prevent the squash from being mushy.
After 15 minutes, use paper towels to wipe away the salt and any liquid. Place squash back on baking sheet and drizzle with 1 tablespoon oil. Bake for 35 to 4o minutes. Let cool 15 minutes. Use a knife to cut away the skin and then pull the squash into threads.
While squash is cooking, heat remaining 2 tablespoons oil in a large skillet. Add onion, green pepper, and celery and cook over medium-high heat for 5 minutes, stirring occasionally.
Add sausage and continue to cook until sausage is lightly browned.
Add garlic and cook 1 minute.
Add Cajun seasoning, Worcestershire sauce, and diced tomatoes.
Stir in shrimp and cook until shrimp is cooked through, about 3 minutes.
Place spaghetti squash in a large bowl and pour shrimp mixture on top.
Serve with hot sauce.