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.
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.)
Yield: about 1/2 cup