To make grits, bring water, milk, and salt to a boil in a medium saucepan.Gradually whisk in grits so that they do not clump. Turn heat to low and cook according to package directions (probably a good 45 minutes for stone-ground or shorter for quick grits.) Stir frequently to prevent the grits from scorching on the bottom of the pan. If grits are getting too thick, you can add more water.Once done, turn heat off and stir in butter, cheeses, and white pepper. Keep warm.To make shrimp, cook bacon in a large skillet. Remove bacon and set aside. Pour off all but 1 tablespoon of bacon fat.Saute mushrooms and red pepper in the bacon fat for 2-3 minutes. Add shrimp, garlic, white parts of green onion, and thyme. Cook until shrimp are pink. Season with salt and pepper.Add chicken broth, cream, lemon juice, and tabasco. Simmer for 2-3 minutes. Add green parts of green onion and bacon.To serve, scoop grits onto a plate or bowl and top with shrimp mixture.