To prepare sauce, combine first 11 ingredients in a medium bowl. Chill.
Thread shrimp onto 4 (10-inch) skewers. Place skewers on grill rack coated with cooking spray; grill 2 minutes on each side or until shrimp are done.
Preheat oven to 350°.
Hollow out bread halves, leaving a 1-inch-thick shell. Place bread on a baking sheet; bake at 350° for 5 minutes. Place 1/4 cup lettuce, 1/4 cup tomato, and 6 shrimp in bottom half of each loaf. Spoon 1/4 cup sauce over each sandwich. Cover with top bread halves.
Wine note: This sandwich needs a seafood-friendly summer white with enough body and bite to cut through the spicy mayo. Willamette Valley Vineyards Pinot Gris 2006 ($15) offers crisp pear and apple flavors, honeysuckle aromas, and a lush body, making it a favorite with shellfish. - Jeffery Lindenmuth