Bring a large pot of lightly salted water to a boil. Add penne and cook, stirring occasionally, until tender yet firm to the bite, 8 to 10 minutes; drain.

Meanwhile, melt butter with olive oil in a saucepan over medium heat. Add onion; cook and stir until softened and translucent, about 2 minutes. Stir in bell pepper, mushrooms, and garlic; cook over medium-high heat until soft, about 2 minutes.

Add shrimp; cook until firm and pink. Stir in Alfredo sauce, Romano cheese, and cream; bring to a simmer, stirring constantly, until thickened, about 5 minutes.

Season with cayenne pepper, salt, and black pepper. Stir in penne. Sprinkle servings with parsley.