For the remoulade sauce, mix all the ingredients in a bowl and set aside for at least 30 minutes to enhance the flavor.
Heat peanut oil in a large frying pan over medium-high heat.
Ensure the oil is about 1/4 inch deep.
The oil is ready when a small amount of flour sizzles upon contact.
In a large bowl, combine cornmeal, flour, Cajun seasoning, and salt.
Dip shrimp into the beaten egg, then coat them in the cornmeal-flour mixture, shaking off any excess.
Fry the shrimp in the hot oil, cooking for about 2 minutes on each side, until golden and crispy.
Set the fried shrimp aside on paper towels to drain excess oil.
Slice the sandwich loaves almost all the way through, leaving them attached at the bottom.
Spread remoulade sauce generously on both the top and bottom of the bread.
Layer shredded lettuce on the bottom of the bread, followed by the crispy shrimp.
Top the shrimp with 3-4 slices of tomato and gently press the sandwich to compress it.
Serve immediately with hot sauce and a cold beer, if desired.