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 combined.
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.
05 - Fry shrimp in batches, being careful not to overcrowd the pan, until golden brown and crispy, about 2–3 minutes per batch. Remove with a 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 slices, and a portion of fried shrimp.
07 - Serve immediately with extra remoulade sauce on the side and lemon wedges for squeezing over the shrimp.