Preheat oven to 375 degrees Fahrenheit.
Heat a medium skillet to medium-high heat and add the olive oil. Add the shallots and garlic and sauté for 1-2 minutes or until fragrant. Season with sea salt and black pepper to taste.
In a mixing bowl, add the lobster, shallot/garlic mixture, half of the cheddar, the cream cheese, sour cream, Romano cheese, mustard and half of the smoked paprika. Mix well.
Add mixture into an oven-safe baking dish, spreading mixture evenly.
Add remaining cheddar cheese and smoked paprika.
Bake for 20-25 minutes at 375 degrees Fahrenheit or until cheese is golden and bubbly.