Heat the broiler. Wrap each scallop in a piece of bacon and secure it with a toothpick. Place the bacon wrapped scallops onto a baking sheet, drizzle them with olive oil, and season them with salt and pepper. Cook them under the broiler for about 10 to 15 minutes until the bacon is cooked through, turning once.
Make the spicy mayo by combining the mayonnaise, chili paste, lime juice, and chopped cilantro. Stir well and refrigerate until ready to use.
To serve, carefully peel away the lettuce leaves and line a large platter with the lettuce cups. Top each with a bacon wrapped shrimp, 2 slices of avocado, and a spoonful of spicy mayonnaise. Garnish with cilantro leaves.