Popcorn Shrimp Salad

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For the Dressing:

1/4 cup mayonnaise

2 tablespoons chopped cornichons, plus 2 tablespoons of the pickling liquid

2 teaspoons whole-grain mustard

1/2 teaspoon hot sauce

Kosher salt and freshly ground pepper

For the Salad:

1/2 pound medium shrimp, peeled and deveined

1 large egg

1 cup instant flour (such as Wondra)

1 tablespoon Cajun seasoning

Kosher salt

Vegetable oil, for frying

2 romaine hearts, torn into bite-size pieces

1 medium tomato, chopped

1 small red onion, thinly sliced

1 green bell pepper, cut into strips

Freshly ground pepper