BBQ Shrimp Po-Boy

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4 French rolls, split, or 1 baguette, quartered crosswise and split

1/2 cup (1 stick) unsalted butter

Juice of 1 lemon, plus the remaining part of the lemon sliced

2 tablespoons Worcestershire sauce

2 cloves garlic, very finely chopped

4 bay leaves, preferably fresh

1 teaspoon sweet paprika

1/4 teaspoon cayenne pepper, or to taste

Kosher salt and freshly ground black pepper to taste

24 large peeled shrimp, deveined if necessary (21/25 per pound)