Preheat oven to 400°.
To prepare fish, combine cornmeal and flour in a shallow dish, stirring with a whisk. Combine water and next 4 ingredients (water through egg) in another shallow dish, stirring with a whisk.
Dip 1 fillet in egg mixture; dredge in cornmeal mixture. Place fillet on a jelly roll pan coated with cooking spray. Repeat procedure with remaining fillets, egg mixture, and cornmeal mixture. Bake at 400° for 25 minutes or until fish flakes easily when tested with a fork, turning once.
To prepare sauce, combine mayonnaise and next 5 ingredients (mayonnaise through rind). Spread about 2 tablespoons sauce over bottom half of each bun; top each serving with 1/2 cup lettuce and 1 fillet. Cover with top halves of buns.