Halve the avocado lengthwise with a sharp knife. Twist the two halves apart and remove the pit. If desired, scoop out a tiny bit of flesh from the inside to make a little more room for the filling, but ensure the skin remains completely intact. Then squeeze out half the lemon and catch the juice.
Put the shrimp in a mixing bowl and pour the fresh lemon juice over them. Add a pinch of cayenne pepper right away to season. Toss everything together so the shrimp are completely coated with juice and the pepper is evenly distributed. Let this mixture rest for a couple of minutes so the flavors can infuse into the shrimp.
Place the two avocado halves on a clean surface. Using a spoon, distribute the shrimp mixture over the cavities where the pit was. Arrange the shrimp neatly and press the filling lightly so it sits firmly in the avocado and doesn't fall out when moved.
Carefully place the filled avocado halves on plates. Cut the remaining lemon half into small wedges and place them alongside. Serve the dish immediately so the avocado flesh stays a beautiful color and the fresh flavors shine through.