Cook the bacon over medium heat in a heavy saucepan until crisp, stirring frequently. Remove with a slotted spoon and drain on a paper towel.
Discard all but 2 tablespoons of the fat, then add the vegetables (except the okra), 4 cups of broth, Worcestershire, salt, and thyme. Cover and simmer over medium heat for 1 hour, stirring occasionally.
Add the okra and cook 10 minutes longer.
Stir in the shellfish and cook 5 minutes more, or until the shrimp curl and turn pink.