Because it's the toughest to digest, so by eating it first it has a head start in the digestive process.. Also, it can help with over-eating as by drinking liquids with it, it will fill you up quicker.
Another take...fancy meals are served in courses, which provides some breathing room for the people preparing the food to make sure things are hot & done as needed. Soup or salad is usually an early course, as they are things that can be made ahead of time and served leisurely.
Lettuce expands the stomach, so it helps to make room other food
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