Preheat oven to 400 degrees. Season pepper and onion with salt and pepper, and drizzle with oil. Spread peppers and onion on foil-lined baking sheet and roast for 17-20 minutes. Remove and set aside to cool
Combine peppers, onion, and avocado in bowl, and mix thoroughly
Combine seasoning ingredients in large bowl. Drizzle shrimp with oil, coat both sides of shrimp with seasoning. Shake excess seasoning from shrimp.
In large skillet, heat 2 teaspoons of oil to medium-high heat. Add shrimp to skillet. Cook 2-3 minutes per side, until shrimp curls. Remove shrimp as soon as it is done
For each lettuce cup, lay 2 pieces of lettuce flat. Add shrimp and pepper/onion/avocado mix to top.