Melt butter in a nonstick pan over medium-high heat. Add onion, red bell pepper, and green bell pepper. Cook for 3 minutes or until soft. Let cool.
Pick through crabmeat and remove any shell. Place crab in a medium bowl along with Panko crumbs, Ritz crackers, Old Bay seasoning, lemon zest, cayenne pepper, mayonnaise, and egg. Stir gently to mix.Season to taste with salt and pepper and refrigerate until needed.
Peel shrimp, leaving the tail on. Cut through the backside of each shrimp, like you would to devein it, but cut more deeply, almost all the way through. Remove and discard the veins.
On a parchment paper-lined baking sheet, place shrimp butterflied side down, pressing to flatten.
Shape about 1 heaping tablespoon of crab mixture into a ball and place on top of a shrimp, pressing the tail into the top to secure. Repeat.
Drizzle melted butter over shrimp.
Bake in a 350 degree oven for 15 minutes, or until cooked through.