Place mayonnaise in bowl on top of crushed ice. Add tomato sauce and 9 ounces lobster meat. In separate bowl, combine onion, anchovy, capers, gherkins, 1 tablespoon parsley, and egg white and yolk. Add this to lobster mayonnaise. Add Worcestershire sauce, several shakes hot sauce, orange juice, lemon juice, salt and pepper, mustard, horseradish, 1 teaspoon paprika, cayenne, sherry, cognac and Cointreau. Combine all ingredients carefully.
Season lettuce with salt, pepper and lemon juice. Divide among 10 champagne glasses. Place remaining lobster on top of lettuce then cover with lobster mayonnaise. Garnish with 2 shrimp, parsley, paprika and a lemon wedge. Serve cold.