Fill a Dutch oven halfway with oil and heat to 375 degrees F.
Whisk the flour, cornmeal, seafood seasoning and sprinkle with salt and pepper in a small bowl and set aside. In another small bowl, whisk the buttermilk, Sriracha and egg and set aside.
Place the shrimp into the buttermilk mixture, let the excess drip off, then dredge in the flour mixture and shake off any excess. Place the shrimp onto a wire-racked baking sheet. Repeat until all shrimp are breaded.
Fry the shrimp in batches, not overcrowding the oil, until golden brown and cooked through, 2 to 4 minutes. Place the shrimp onto a paper-towel-lined-plate. Repeat until all the shrimp are fried. Sprinkle with salt and pepper.
Spread both sides of the rolls heavily with the Horseradish Remoulade. Place the shrimp on top and then the tomatoes, lettuce and some onions. Eat away!
Add the mayonnaise, capers, Sriracha, horseradish, lemon juice, relish, vinegar, mustard, shallots and sprinkle with salt and pepper in a food processor. Blend until slightly chunky. Adjust seasoning if necessary.