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Using a serrated knife, cut the peel from the orange, removing as much pith as possible. Slice the orange and cut each slice in half, reserving any juice left on the chopping board for the dressing.
Remove any tough outer leaves from the fennel. Halve, cut out the cores, then slice as thinly as possible (using a mandolin if you have one). Trim the ends of the courgettes and, using a vegetable peeler, shave off long, thin slices, discarding the seedy, watery centres.
Mix together the reserved orange juice, the sherry vinegar and olive oil. Season well and add lemon juice to taste. Just before serving, mix the fennel, courgette, lettuce leaves and orange slices with the dressing.