Make the sauce
Heat the vegetable oil in a large saucepan or Dutch oven set over medium-high heat. When the oil shimmers, add the celery, onion, red pepper, garlic, salt and pepper and cook, stirring frequently, until the onions are translucent, 3 to 4 minutes.
Add the chorizo and cook for 4 to 5 minutes, stirring frequently. Add the tomatoes, okra, paprika, and cayenne and continue cooking for 4 to 5 minutes, stirring frequently. Add the stock and vinegar and bring to a simmer.
Decrease the heat to low, cover, and cook, stirring occasionally, for 20 to 25 minutes, until the vegetables are tender and the mixture has thickened slightly.
Add the shrimp and stir to combine. Continue to cook 4 to 5 minutes, until the shrimp are cooked through.
Serve the shrimp and sauce over the warm grits.