Cooking the Brussels on the stovetop first gives them a jump-start to becoming brown and crispy without drying out. The roasted flavor of the Brussels sprouts combines with the Worcestershire sauce and Parmesan cheese in the dressing to build the savory profile that Caesar salad is known for.
Flip Brussels sprouts. Transfer to the oven; roast until browned on edges and tender-crisp, 6 to 8 minutes. Let cool slightly, about 5 minutes.
Meanwhile, whisk lemon zest, lemon juice, mayonnaise, garlic, vinegar, Worcestershire, pepper and 3 tablespoons Parmesan together in a large bowl until smooth. Add the Brussels sprouts, romaine and croutons; toss until evenly coated.
Divide among 4 plates; sprinkle evenly with the remaining 1 tablespoon Parmesan.