For the Marie-rose sauce, mix together all of the Marie-rose sauce ingredients a bowl until well combined. Add more Tabasco sauce, Worcestershire sauce, or lemon juice as necessary, to taste. If serving later, cover with cling film and keep in a fridge until needed.
To serve, arrange the lettuce leaves and shredded cucumber in the bottom of four Martini glasses or serving glasses. Squeeze over the lemon juice. Carefully arrange the prawns and spoon over the Marie-rose sauce. Sprinkle with cayenne pepper.