Whisk together mayonnaise, mustard, hot sauce, lemon juice, horseradish, minced garlic, and Cajun seasoning to make the remoulade. Chill until serving.
In three shallow bowls, set up a breading station with seasoned flour, buttermilk, and cornmeal mixed with spices. Dredge shrimp through each step.
Heat oil in a deep skillet or Dutch oven to 350°F. Fry shrimp in batches for 2–3 minutes until golden and crispy. Drain on paper towels.
Split French rolls lengthwise. Spread butter and toast in a cast iron skillet until golden.
Spread remoulade on rolls, layer lettuce, tomato, pickles, and fried shrimp. Serve immediately.