Blend mayonnaise and pimenton in a bowl; set aside. Heat olive oil over medium heat in a large pan. Stir in onions; cook until softened, about 5 minutes. Add balsamic vinegar and simmer one minute. Remove from heat and keep warm.
Wrap each Alaska Scallop with a cooked bacon slice. Grill or sauté scallops for 2 to 3 minutes per side, cooking just until scallops are opaque and bacon is crisp.
Place buns on grill and lightly toast. To serve, spread about 1 tablespoon mayonnaise on cut side of each bun. Place about 2 tablespoons onions on the bun bottoms, top with a bacon-wrapped scallop and lettuce leaf, then close with bun tops.
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