Whisk or blend the Greek yogurt, lemon juice, vinegar, Dijon mustard, Worcestershire sauce, garlic, and anchovy (if using) until smooth.
Stir in the Parmesan and a generous amount of cracked black pepper.
Add cold water, 1 tablespoon at a time, until the dressing is creamy and spoonable but still thick enough to cling to lettuce or shrimp.
Taste before adding salt, as the Parmesan and Worcestershire already provide saltiness. Adjust as needed.
Let the dressing sit for 15–20 minutes before serving to allow the flavors to meld and the garlic to mellow.