- Pat shrimp dry with paper towel. In bowl, toss together shrimp, oil and Cajun seasoning. In separate bowl, stir together mayonnaise, mustard, lemon zest, lemon juice, capers and garlic.
- Preheat grill to medium-high; grease grate well. Grill shrimp for 1 to 2 minutes per side or until starting to turn pink and cooked through.
- Cut baguette crosswise into four pieces; split each portion lengthwise without cutting all the way through. Spread mayonnaise mixture over both halves. Layer shrimp and lettuce in sandwiches.
Tip: For a fully loaded sandwich, add bacon, tomato, onion and pickles.