1. Combine first 5 ingredients. Cover and refrigerate until ready to use.
2. Combine shrimp, oil, salt, and pepper in a bowl; toss gently. Preheat a lightly oiled grill pan or grill; cook shrimp about 4 minutes or until golden and cooked through (turning after 2 minutes). Transfer to a plate.
3. Grill bread, cut sides down, until golden (about 2 minutes). Combine slaw and 1 tablespoon chilled sauce; toss gently. Spread sauce over bread; top with shrimp and slaw.