In a large skillet, sauté chicken with a little olive oil for 5 to 10 minutes until it begins to color. Remove from heat and set aside.
In the same pan, melt the butter with the flour and mix well. Cook for 2 to 3 minutes and add the milk. When the milk starts to boil, add the parmesan, chicken, Cajun Mardi Gras spices, cayenne sauce and ham. Simmer over low heat for 5 minutes, adding salt and pepper to taste.
Stuff shells with about 1 tbsp of the mixture and place in an ovenproof skillet. Add parmesan cheese on top, sprinkle with Cajun Mardi Gras spices and broil for about 5 minutes or until the dish is nicely gratinated.