Add half of the shrimp to a food processor and process until a paste forms. Add cod, remaining shrimp, coconut flour, egg, scallions, parsley, half of the lemon juice, and pepper. Pulse until combined.

Shape mixture into patties, place on a lined baking sheet and refrigerate, covered, until cold and firm.

Meanwhile, prepare the sauce by mixing the remaining lemon juice with the mustard, horseradish and mayonnaise. Cover and refrigerate.

Preheat a safe nonstick skillet or cast iron pan to medium-high. Add the oil. When shimmering, place burgers in the pan (do not crowd). Cook approximately 3 minutes per side, flipping only once, until cooked through.

Serve burgers with sauce.