Combine mayonnaise, zest and juice. Cover and chill. In a shallow bowl season cornmeal with salt, pepper and cayenne. Pat oysters dry and roll in cornmeal until completely coated.
Heat 1/2-inch of oil in a large, heavy cast-iron skillet to 350 degrees F. Add half the oysters and cook until golden brown on all sides, turning them with tongs. Remove with a slotted spoon to paper towels to drain. Repeat with remaining oysters.
Split rolls lengthwise and pull out inner bread to form a pocket for oysters. Spread with mayonnaise mixture. Place the fried oysters in the bread and top with lettuce and tomatoes.