Peel shrimp, and devein, if desired.
Combine flour, salt, and pepper. Stir together milk and egg until smooth. Toss shrimp in milk mixture; dredge in flour mixture.
Pour oil to a depth of 2 inches in a Dutch oven; heat to 375°. Fry shrimp, in batches, 1 to 2 minutes or until golden; drain on wire racks.
Melt butter; add garlic. Spread cut sides of rolls evenly with butter mixture; place on a large baking sheet.
Bake at 450° for 8 minutes. Spread cut sides of rolls evenly with Remoulade Sauce. Place shrimp and lettuce on bottom halves of rolls; cover with roll tops.