Start by preparing the ingredients. Make the cocktail sauce by stirring the sugar-free mayonnaise, sugar-free tomato ketchup, lemon juice and optionally a teaspoon of whisky in a small bowl until smooth. Halve the avocado, remove the pit and cut the flesh into small, even pieces. Rinse the large romaine lettuce leaves under cold running water and pat them dry carefully with paper towels.
Get a large mixing bowl to assemble the filling. Add the Dutch shrimp to it and add the freshly cut avocado pieces. Pour the mixed cocktail sauce over the ingredients in the bowl. Gently fold everything together with a spoon so all the shrimp and avocado pieces are coated with a layer of sauce, but the delicate avocado retains its shape.
Lay the four dried romaine lettuce leaves like boats on the plates. Divide the mixture of shrimp, avocado and sauce into equal portions and spoon this into the center of each lettuce leaf. Make sure the filling sits neatly in the leaf.
Finish the dish by sprinkling the dill over the filled lettuce leaves and add pepper to taste. Serve the cocktail immediately so the shrimp stays cool and the lettuce leaves retain their crispy texture.