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1
Butterfly the shrimp by slicing along the backs and cutting about halfway into the flesh.
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2
Whisk the eggs, milk, paprika and 1 teaspoon salt in a shallow bowl; add the shrimp and refrigerate at least 15 minutes and up to 1 hour.
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3
Put the flour in a shallow bowl and season with pepper.
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4
Put the breadcrumbs in another shallow bowl.
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5
Remove the shrimp from the egg mixture and dredge in the seasoned flour.
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6
Dip the shrimp in the egg mixture again, then roll in the breadcrumbs to coat; transfer to a rack set over a baking sheet and refrigerate until ready to fry.
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7
Combine the mayonnaise, pickle, ketchup, horseradish, Worcestershire sauce, scallions and parsley in a small bowl.
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8
Cover and refrigerate until ready to serve.
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9
Heat about 1/2 inch peanut oil in a large skillet over medium-high heat until a deep-fry thermometer registers 350 degrees F. Working in batches, add the shrimp and fry, flipping halfway through, until golden brown, about 5 minutes.
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10
Remove the shrimp with a slotted spoon and drain on paper towels; season with salt.
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11
Spread the mayonnaise mixture on the rolls and fill with shredded lettuce and the fried shrimp.
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12
Serve with lemon wedges.
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13
Photograph by Kana Okada
