Combine milk and catfish in a large bowl, tossing gently to coat. Remove fish from bowl; shake off excess milk. Sprinkle fish with salt. Combine cornmeal and Cajun seasoning in a large zip-top plastic bag. Add fish to bag. Seal and shake to coat.
Heat oil in a large nonstick skillet over medium-high heat. Add fish; cook 3 minutes on each side or until fish flakes easily when tested with a fork.
While fish cooks, combine vinegar and next 4 ingredients (vinegar through pepper) in a medium bowl. Add broccoli coleslaw; toss well to coat. Spoon 1/2 cup slaw mixture onto bottom half of each roll. Arrange fish evenly over each serving, and top with top halves of rolls.