Brush cut halves of each gem lettuce head with oil and lightly season with salt and pepper. Sear on a hot grill, cut-side down, for 30 seconds. Remove gem halves and transfer them onto a platter.
Top grilled gems with bacon, cherry tomatoes, avocado, red onion, crumbled bleu cheese, and a generous drizzle of dressing.
Finish salad with lemon zest, more crumbled bleu cheese and cracked black pepper. Serve.