Heat a cast-iron or other heavy skillet over medium heat. When hot, add bacon strips in a single layer. Cook until browned on bottom, 3 to 4 minutes.
Flip bacon, using tongs, and cook until browned on both sides, about 2 minutes.
Reserve fat. Drain bacon on paper towels. Set it aside.
Add the shrimp to the hot pan, and cook the shrimp for 2-3 minutes over medium high heat. Remove the shrimp from the pan and set aside.
Combine eggs, heavy cream, dried thyme, hot pepper sauce, salt and pepper in a large bowl. Stir well to combine.
Add the 1/2 the cheddar cheese, and the parmesan cheese to the mixture. Stir well to combine.
Melt the butter in the pan and over meduim heat. Add the onion, and garlic to the oil. Cook the mixture until onions are translucent.
Add the egg mixture to the pan, and gently stir for 1-2 minutes. Just enough to get the eggs started.
Add the broccoli, sweet pepper, asparagus, shrimp, bacon, and scallions to the pan. Stir gently to evenly coat with egg mixture. Sprinkle remaining shredded cheddar over the top of mixture.
Place the pan in the oven and cook until done. Approximately, 15-20 minutes. Check on the frittata a few minutes before you think it's supposed to be done. The center shouldn't be jiggly, and a knife should come out clean.
Remove the frittata from the oven and let it rest before serving.
Serve with salsa and sprinkle with chopped cilantro.