How to Make It
Place water and 2 tablespoons of the salt in a large pot; bring to a boil over high. Add shrimp; cook just until opaque, 1 1/2 to 2 minutes. Transfer shrimp to a colander; rinse under cold water until cooled, about 2 minutes. Drain and roughly chop. Transfer to a large bowl; set aside.
Place canola oil in a medium skillet; heat over medium. Add chorizo links; cook, turning occasionally, until lightly browned and cooked through, about 12 minutes. Remove from heat; cool 10 minutes. Cut chorizo into 1/4-inch-thick slices; add to shrimp in bowl.
Place parsley, cilantro, oregano, shallot, and garlic in a food processor; process until finely chopped, about 10 seconds. Add olive oil, lime juice, crushed red pepper, and remaining 2 teaspoons salt; process until well combined, about 10 seconds. Add ½ cup of the parsley-cilantro mixture to shrimp and chorizo in bowl; toss to coat. Stir together remaining parsley-cilantro mixture and mayonnaise in a small bowl.
Spread mayonnaise mixture inside split rolls; fill with shrimp-chorizo mixture. Close rolls, and cut each in half to serve.