1. Preheat the grill to medium-high (about 450°F). Rub the corn and jalapeño with the oil. Grill, uncovered, turning occasionally, until tender and charred in spots, about 6 minutes for the jalapeño and 12 minutes for the corn. Let stand until cool enough to handle.
2. Cut the kernels from the cobs, and place the kernels in a large bowl. Add the romaine and avocado to the bowl.
3. Remove the stem and seeds from the jalapeño. Process the jalapeño, mayonnaise, buttermilk, parsley, chives, lemon juice, dill, anchovy, garlic, and salt in a blender until smooth.
4. Add just enough of the dressing to coat the salad; toss to coat. Store the remaining dressing in an airtight container in the refrigerator for up to 1 week.