Bring a pot of salted water to a boil.

Zest one of the lemons and set the zest aside. Halve and juice the lemon and add the onion to the juice. Set aside. Slice one of the remaining lemons.

When the water has come to a boil, remove from the heat. When the boiling subsides add the sliced lemon and the shrimp. Cover the pot and let sit for 5 minutes. While the shrimp are poaching, fill a large bowl with water and ice.

Use a slotted spoon or strainer to transfer the shrimp to the ice bath and let them cool completely. Drain and discard the lemon slices.

Place the reserved lemon zest, mayonnaise and olive oil in a bowl. Whisk. Drain the onion and set aside - add the juice to the dressing, a bit at a time, till the desired consistency is reached. Add the celery, onion, herbs and shrimp, tossing to combine. Season with salt and pepper. Refrigerate.

Serve with diced avocado and lemon wedges from the third lemon.