01 - In a small bowl, mix together mayonnaise, Dijon mustard, horseradish, hot sauce, pickle relish, smoked paprika, lemon juice, parsley, salt, and pepper. Chill until ready to use.
02 - Pat the shrimp dry. In one shallow bowl, combine flour, cornmeal, paprika, garlic powder, onion powder, cayenne, salt, and black pepper. In another bowl, whisk eggs and milk.
03 - Dredge each shrimp in the flour mixture, dip in the egg mixture, then coat again with the flour mixture, pressing lightly to adhere.
04 - Heat 1-2 inches of vegetable oil in a large skillet or Dutch oven to 350°F. Fry shrimp in batches, about 2-3 minutes per side, until golden and cooked through. Drain on paper towels.
05 - Spread remoulade sauce generously on both sides of each roll. Layer with shredded lettuce, tomato slices, fried shrimp, and optional pickles.
06 - Serve immediately while the shrimp are hot and crispy.