01 - In a bowl, whisk together mayonnaise, Dijon mustard, ketchup, horseradish, lemon juice, hot sauce, paprika, minced garlic, capers, and parsley. Season with salt and pepper to taste. Cover and refrigerate until needed.
02 - Pat shrimp dry with paper towels. In one bowl, combine flour, cornmeal, Cajun seasoning, salt, and black pepper. In a separate bowl, whisk eggs with hot sauce until well blended.
03 - Dredge each shrimp first in the egg mixture, allowing excess to drip off, then coat thoroughly in the flour-cornmeal mixture, pressing lightly to ensure breading adheres evenly.
04 - Pour about 2 inches of vegetable oil into a heavy skillet or deep fryer. Heat to 350°F, maintaining temperature throughout frying for optimal crispiness.
05 - Fry shrimp in small batches to avoid overcrowding, cooking until golden brown and crispy, approximately 2–3 minutes per batch. Remove with slotted spoon and drain on paper towels.
06 - Split each baguette roll horizontally. Spread a generous layer of remoulade sauce on both cut sides. Layer bottom half with shredded lettuce, tomato slices, pickle chips, and a portion of fried shrimp. Top with remaining bread half.
07 - Serve immediately while shrimp remain crispy. Accompany with extra remoulade sauce on the side and fresh lemon wedges for squeezing over the sandwich.