Bring a pot of water to a boil and add salt. Cook the penne pasta to al dente according to package instructions. Before draining, reserve at least 1/2 cup of the cooking water. Drain the pasta and set it aside.

In a bowl, combine the shrimp with Cajun seasoning and olive oil. Toss to coat the shrimp evenly.

Heat a large skillet over medium-high heat. Add butter and let it melt. Add the seasoned shrimp in a single layer and cook until golden brown on each side, turning them only once. If needed, cook the shrimp in two batches to ensure they cook evenly. Once cooked, transfer the shrimp to a clean plate and reduce the heat to medium-low.

Add the heavy cream to the skillet and scrape the bottom of the pan to release any bits stuck to the surface. Allow the cream to bubble. Reduce the heat to low and stir in the finely grated Parmesan cheese until melted.

Add the cooked pasta and shrimp to the skillet, stirring to coat them in the sauce. If the sauce needs to be thinned, add pasta water one tablespoon at a time until the desired consistency is achieved.