Sprinkle shrimp with salt and pepper, to taste. In a large skillet, heat 1 tablespoon oil over medium heat; add shrimp and cook, stirring frequently, for 6 minutes or until they turn opaque throughout. Transfer to a small bowl and cover to keep warm.
In the same skillet, heat remaining oil over medium-high heat; add onion and bell pepper and cook for 8 minutes or until tender. Stir in cumin and cook for 1 minute. Add lime zest and juice along with salt and pepper to taste; cook for 3 minutes or until heated through.
Arrange shrimp, onion mixture, and sliced avocado on top of chopped romaine then sprinkle with cilantro.