Heat the olive oil in a large heavy saucepan over medium-high heat. Add the onions, salt, pepper, and bay leaves. Cook, stirring often, until the onions are softened, about 4 minutes. Add the wine, garlic, and lemons. Cook until the wine is reduced by half, about 2 minutes. Add the shrimp stock and Worcestershire sauce and bring to a boil over high heat. Reduce the heat to medium-low and simmer until the sauce is reduced to 1/2 cup, about 1 1/4 hours.
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Strain the sauce base through a fine mesh strainer into a small bowl, pressing on the solids with the back of a spoon to release as much liquid as possible (The sauce base can be refrigerated in an airtight container for up to three days, or frozen for up to two months.)
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Yield: about 1/2 cup