Rub the corn and jalapeno with the oil and grill, turning occasionally, until tender and charred in spots, about 6 minutes for the jalapeno and 12 minutes for the corn. Cut the kernels from the corn cobs and place them in a large bowl. Add the avocado and romaine to the bowl.
Stem and seed the grilled jalapeno. Combine the jalapeno, mayonnaise, buttermilk, parsley, chives, lemon juice, dill, anchovy, garlic and 1/2 teaspoon salt in a blender and blend until smooth.
Add just enough of the dressing to coat the salad; season with salt. Toss gently to combine.
The remaining dressing can be refrigerated in an airtight container for up to 1 week.