Hollow out centers of rolls, leaving 1/2-inch-thick shells. Reserve insides of rolls for another use.
Peel and devein shrimp. Bring water to a boil; add shrimp, and cook 3 to 5 minutes or until shrimp turn pink. Drain well; rinse with cold water. Cover and chill at least 15 minutes.
Combine mayonnaise and next 3 ingredients, stirring well. Stir in shrimp. Line each roll half with 2 lettuce leaves. Spoon shrimp mixture evenly over lettuce.