Preheat 1-inch of oil in a deep skillet over medium to medium-high heat.
Beat egg and milk together. Pull tails off shrimp. Salt shrimp then soak in milk batter. Before you begin breading the shrimp, cover a plate with plastic wrap for easy clean up then mix together the flour, cornmeal or bread crumbs and seafood seasoning on the plate. Using tongs, remove a few shrimp at a time and coat in breading. Add breaded shrimp to the hot oil and fry them 5 to 6 minutes or until firm and deeply golden all over.
Pile lettuce and tomato on rolls and top with shrimp, douse the shrimp with a little lemon juice. Mix relish, mustard and hot sauce and dot the roll tops with spoonfuls of the sauce before setting into place.
Recipe courtesy of Rachael Ray