01 - Whisk together mayonnaise, Dijon mustard, ketchup, horseradish, lemon juice, hot sauce, paprika, minced garlic, capers, and parsley in a bowl. Season with salt and pepper to taste. Cover and refrigerate until needed.
02 - Pat shrimp dry with paper towels. Combine flour, cornmeal, Cajun seasoning, salt, and black pepper in one bowl. Whisk eggs with hot sauce in a separate bowl.
03 - Dredge each shrimp first in the egg mixture, allowing excess to drip off, then press into the flour-cornmeal mixture to coat evenly on all sides.
04 - Pour about 2 inches of vegetable oil into a heavy skillet or deep fryer. Heat to 350°F, maintaining temperature throughout frying.
05 - Fry shrimp in small batches to avoid overcrowding, cooking for 2-3 minutes until golden brown and crispy. 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 with shredded lettuce, tomato slices, pickle chips, and fried shrimp.
07 - Serve sandwiches while shrimp are still crispy, with extra remoulade sauce on the side and lemon wedges for squeezing.