If frozen, let the shrimps defrost in the fridge if you have time, or in room temperature or cold water if you are in a hurry
Add the egg yolks, the salt and mustard in a high, narrow container. Mix well. I use the hand mixer whisk, but you can also do this by hand in a wider bowl.
While mixing add the oil, little by little. It is important to add the oil very slowly to give the egg yolks time to absorb the oil and for the mixture to thicken. Start with a few drops and then slowly add more.
Add lemon juice and ground pepper to taste. It is important add the lemon at the end. If added at the beginning it can be difficult to get a thick texture. If the mayonnaise becomes too thick then add a bit of lukewarm water. You can use a piping bag or a spoon when preparing the sandwich. Store the mayonnaise in the fridge.
Peel the shrimps, cut the avocado and lemon.
Prepare the sandwich with all the layers: Bread, salade, mayonnaise, avocado, shrimps, ground pepper, lemon/cucumber, and dill.