Mix onion with lime juice in a small bowl and allow to stand for 10 minutes. Meanwhile, toss shrimp, roma tomatoes, cucumber, celery, jalapeno, salt, and black pepper in a bowl until thoroughly combined.
Whisk tomato and clam juice cocktail, ketchup, cilantro, and hot pepper sauce in a separate bowl; stir dressing into shrimp mixture. Gently fold in avocados. Cover and chill thoroughly, at least 1 hour.