Heat the oil in a large pot. Add the okra and cook over low heat, stirring, until softened, 20 minutes. Add the crabs, onion, bell pepper and celery, cover and cook, stirring to prevent the okra from sticking to the bottom of the pot, until the vegetables are tender and the crabs are partially cooked, 15 minutes.
Stir in the tomato paste, water, garlic, red pepper, paprika, cayenne, thyme and bay leaves; season with salt. Bring to a boil. Reduce the heat to moderate and simmer until the crabs are bright red, 10 minutes. Stir in the shrimp and cook until pink, 10 minutes.
Transfer the crabs to a work surface and pull off the triangular shell on the underside of each one. Using a sharp knife, cut each crab in half and transfer to bowls. Ladle the gumbo into the bowls and serve with rice.
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