Add oil to a large nonstick saucepan. Over medium heat, sauté onion, garlic, bell pepper and celery until onion is translucent. Add parsley, ham, chicken, bay leaf, and cayenne pepper. Cook, stirring often, 5 to 6 minutes. Add tomatoes (with juice), tomato sauce, and 1 3/4 cups cold water. Gently simmer, uncovered, stirring occasionally, about 5 minutes. Pour rice into the pan and stir well. Bring mixture to a boil. Lower heat and simmer, covered, 45 minutes or until rice is cooked and absorbs most of the liquid. Stir in shrimp and cook 5 minutes more. Remove bay leaf. Season to taste with cayenne pepper and salt.