Mix mayonnaise, lime juice, and zest in small bowl.
Toast bread, then spread one side of each slice generously with mayonnaise. Arrange lobster on one slice bread. Cover with half the tomato slices and 1 leaf lettuce. Top with second slice bread, mayonnaise side down, and spread more mayonnaise on top. Arrange bacon on bread, then cover with tomato and lettuce. Top with final slice bread and hold together with gherkins mounted on toothpicks. Cut in half and serve at once.