Heat a large nonstick skillet over medium-high heat. Coat pan with cooking spray. Combine cornmeal, thyme, 1/4 teaspoon salt, and 1/4 teaspoon pepper in a shallow dish, stirring well with a fork. Dredge fish in cornmeal mixture. Add fish to pan; cook 4 minutes on each side or until fish flakes easily when tested with a fork. Transfer fish to a plate.
Add coleslaw to pan; cook 2 1/2 minutes or until slightly wilted. Remove from heat. Add remaining 1/4 teaspoon salt, remaining 1/4 teaspoon pepper, juice, and mayonnaise; toss to coat. Place 1 fish piece on each of 4 bottom halves of rolls; top each sandwich with about 1/3 cup slaw mixture. Place top halves of rolls on sandwiches. Serve immediately.