In a small bowl, combine the softened cream cheese, mayonnaise, pepper, Old Bay seasoning, and lemon zest. Mix until smooth and well combined. Transfer the mixture to a piping bag or small plastic bag (if using a plastic bag, snip a small corner to create a piping opening). This creamy base will provide richness and flavor to anchor each bite. I like to let this sit in the refrigerator while I prepare the other components so the flavors have time to meld.

In a separate small bowl, whisk together the ketchup, horseradish, smoked paprika, and Worcestershire sauce until smooth and fully combined. Set aside at room temperature. This tangy, slightly spicy sauce is the classic complement to shrimp and provides a bright contrast to the creamy base.

Pat the chilled shrimp dry with paper towels and finely chop them. Lay out all the phyllo cups on a serving platter or plate. Using the piping bag with cream cheese mixture from Step 1, pipe approximately 1/2 tablespoon of the mixture into the bottom of each phyllo cup, distributing evenly among all cups. I recommend filling them all at once so the assembly moves quickly and the cups stay crispy.

Spoon about 1 teaspoon of the cocktail sauce from Step 2 onto each phyllo cup, spreading it lightly over the cream cheese layer. Top each cup with a small portion of the chopped shrimp, distributing evenly. Finish with a light sprinkle of fresh chopped parsley on top of each cup for color and freshness. Serve immediately while the phyllo cups are still crispy.