Bring a large pot of water to a boil. Add the shrimp and cook until pink and opaque, about 3 minutes. Drain and rinse under cool water to stop the cooking process. Let cool, then slice into large chunks (halved, or thirded, depending on the size of your shrimpies).
In a bowl, whisk together the mayonnaise, celery, shallot, garlic, and Old Bay seasoning. Season to taste with salt and pepper. Once the shrimp is cooled, toss it with the sauce along with the diced avocado, until combined.
Melt the butter in a large skillet over medium heat until browned, about 2-3 minutes. Set each bun in the skillet and toast for 1 minute per side, until golden.
Arrange lettuce leaves in each bun. Top with the shrimp mixture and garnish with pickled red onions and additional cracked pepper, as desired.
Notes
*To make ahead: Omit the avocado from the shrimp mixture, and add when ready to serve.
Keyword avocado, brioche, lunch, old bay, pescatarian, sandwich, seafood, shrimp, street food, summer, weeknight dinner