Preheat the barbecue or grill.
In a medium saucepan, heat 1-teaspoon oil. Sweat the shallots for about 2 minutes. Do not brown. Deglaze the pan with the wine and vinegar and reduce slightly. Pour in the cream and reduce the sauce by half. Whisk in the butter and strain into a clean pan. Season with lemon juice, salt, and pepper, to taste. Keep warm.
Sprinkle the 3 tablespoons vegetable oil over the shrimp. Grill the shrimp, about 1-1/2 minutes on each side. Do not overcook. Drain and cut each shrimp in half lengthwise.
For each sandwich, spread a little mayonnaise on 1 slice of bread and arrange a little lettuce (or 1 piece) on the bread. Top with 3 slices of tomato, season lightly with salt and pepper, and arrange the bacon on the tomatoes. Top with the second slice of bread, a thin layer of mayonnaise, and a little lettuce. Heat the shrimp (10 halves) in the lemon butter and arrange on the lettuce. Top with the third slice of bread and cut in half. Serve immediately.
Recipe courtesy of Wolfgang Puck, Adventures in the Kitchen, Random House, 1991