1. Blend mayonnaise, scallions, pickle, capers, hot sauce and 1 tsp. Cajun seasoning in food processor. Cover and chill.
2. Whisk egg, milk and cayenne. Add shrimp; let stand 10 minutes. In a shallow bowl, mix cornmeal, flour, 1 Tbsp. Cajun seasoning, salt and pepper. Preheat oven to 200ºF; line a baking sheet with paper towels and another with foil.
3. Remove shrimp from egg mixture, shaking off excess. Dredge in cornmeal mixture. Set on foil-lined sheet.
4. Pour 2 inches of oil into a large, deep skillet. Heat oil until it reaches 370ºF on a candy thermometer. Cook shrimp a few at a time, turning once, until coating is browned and crispy, 3 to 4 minutes. Remove to paper towel-lined sheet with a slotted spoon. Keep warm in oven. Bring oil back to 370ºF before adding a new batch of shrimp.
5. Spread 1 Tbsp. reserved sauce on rolls. Divide lettuce and tomatoes among rolls. Divide shrimp among rolls and serve immediately.