Toss shrimp with olive oil, chili powder, paprika, cumin, garlic powder, lime juice, salt, and black pepper in a bowl.
Preheat the oven to 425°F (220°C). Arrange shrimp in a single layer on a sheet pan.
Roast shrimp for 8 to 10 minutes until pink and slightly charred. Optionally broil 1 to 2 minutes for extra char.
In a separate bowl, combine shredded cabbage, carrots, lime juice, olive oil, salt, and pepper. Toss and set aside.
Blend avocado, Greek yogurt or sour cream, lime juice, garlic, and salt until smooth. Add water gradually to achieve a drizzle consistency.
Assemble lettuce wraps by placing slaw into each leaf, topping with 4–5 shrimp, and drizzling with avocado crema.
Serve immediately while shrimp are warm.