In this article, motivated by the regularity theory of the solutions of doubly nonlinear parabolic partial differential equations, the authors introduce the off-diagonal two-weight version of the parabolic Muckenhoupt class with time lag. Then the authors introduce the uncentered parabolic fractional maximal operator with time lag and characterize its two-weighted boundedness (including the endpoint case) in terms of these weights under an additional mild assumption (which is not necessary for one-weight case). The most novelty of this article exists in that the authors further introduce a new parabolic shaped domain and its corresponding parabolic fractional integral with time lag and, moreover, applying the aforementioned (two-)weighted boundedness of the parabolic fractional maximal operator with time lag, the authors characterize the (two-)weighted boundedness (including the endpoint case) of these parabolic fractional integrals in terms of the off-diagonal (two-weight) parabolic Muckenhoupt class with time lag; as applications, the authors further establish a parabolic weighted Sobolev embedding and a priori estimate for the solution of the heat equation. The key tools to achieve these include the parabolic Calderón–Zygmund-type decomposition, the chaining argument, and the parabolic Welland inequality, which is obtained by making the utmost of the geometrical relation between the parabolic shaped domain and the parabolic rectangle.