Cocktails were originally made to mask the taste of bad spirits. As they evolved after prohibition, they began to focus more on complimenting a spirit and make the drink more tasty. To make alcohol taste good, you need to add sugar, and to make it not taste too sweet you need to add citrus.

If you have a dislike of citrus more than the next person, just have a conversation with your bartender to suggest a drink. They spend a lot of time adjusting their drinks on the menu. If you ask for a cocktail on the menu and ask them to omit the citrus, it will change the cocktail completely, making it taste too sweet or too boozy.

Every cocktail made with a clear spirit includes citrus (except a martini). So stick to bourbon cocktails (not sours) or martinis, order a (vodka/gin)+(soda/tonic), or just talk to your bartender.