Shell uncooked shrimp and cut out sand vein. Set aside a few whole shrimp for garnish. Dice remaining shrimp. Cook diced and whole shrimp, celery, onion and mushrooms in butter until onion is tender but not browned. Remove whole shrimp and set aside.
Stir flour into vegetable mixture. Add chicken broth, half and half, paprika, nutmeg, and salt. Cook and stir until smooth and slightly thickened. Add more salt and nutmeg if needed.
Stir in sherry. Pour into tureen and garnish with reserved shrimp which can be split, if desired.