Polymer clays are non toxic once cured, which can be done in a home oven. But while they're made of poly resins, they are not designed for full time immersion in water.
But it's been done, some have covered rocks with it, some have made ornaments with it, and I've not yet heard of any fish deaths associated with it. Shrimp, I could not say, as I am not aware of anyone having tried it with shrimp.
But it's essentially plastic, once cured. You might try a piece with one shrimp to see what happens. There is also a product called 'friendly plastic' which is very temperature senstive. Hot water or dry heat about the same temperature is enough to mold it or stick pieces together. It hardens fast once cooled, either in air or instantly in cold water. Comes in a ton of colours and patterns, and it's just plastic. Safe for kids even if they chew it, so I'd think it would be safe for shrimp too. Whether you could build tubes from it, I am not sure. It comes in pieces approx' 2 inches wide, IIRC and about six inches long, usually. It comes in black, I know that. You'd have to weight it, it's very light and floats.
The terra cotta clay has to be fired at the right temperature or it won't cure properly and will dissolve in the water. Some use it uncured as an iron source in dirt tanks.
But you can get very small terra cotta plant pots.. they make them as small as a 1.5 and 2 inches. Though they are not tubes, as such, they have a hole in the bottom and are quite cheap. You could make a small stack of them, reversing every other one to account for the tapered flower pot shape. You could stick two together at the ends to get a longer 'tube', and bore out most of the bottom of the pot using a drlll or Dremel. Terra cotta Is very soft. That would give you a flared end tube of sorts.
You could probably also use PVC
or electrical conduit pipe cut in short lengths, siliconed or epoxied together. You might even cover the whole thing with silicone once it's assembled and roll it in small pebbles or dry substrate, to make it look like the substrate or a rock.
You might also be able to build something similar out of pieces of slate fastened with epoxy putty. Slate's easy to break, a screw driver, hammer, pliers is all you'd need. Oatey's brand plumber's epoxy putty is safe in tanks, though not rock coloured, it's a light tan shade. Comes in a stick, you cut off what you need, work it 'til the colour is even, then apply quickly, like any two part epoxy putty. Main drawback is the fast cure, just two or three minutes working time at most.
The putty made for tank use is quite costly, comes in dark slate blue and red coral colours and cures in about twenty minutes, giving more time to assemble things. I glued some nice rocks into a pillar with it, but they fell apart after a few months. Maybe they were too heavy, maybe not enough putty.. but I don't think I'll try that pillar again.
Try looking in a dollar store.. you never know what you might find that you could work with.