In a medium-sized bowl, whisk together the mayonnaise, crumbled blue cheese, garlic, Worcestershire sauce and lemon juice until well incorporated. Add cole slaw mix and toss well. Season with salt and pepper and set aside.
In a deep-fryer or heavy-bottomed pot, heat enough canola oil to come halfway up the sides of the pot, to 350 degrees F.
Put buffalo sauce in a shallow dish and set aside. Season the chicken with smoked paprika, and salt and pepper, to taste. Put the flour, 2 tablespoons of paprika, 1 tablespoon of salt and 1 tablespoon of pepper in a shallow dish. In another shallow dish add the egg, buttermilk, and hot sauce and whisk together. Dredge each piece of chicken in the buttermilk mixture and shake off any excess, then dredge into flour mixture. Fry until the chicken is cooked through, about 4 to 6 minutes and the internal temperature registers 165 degrees F on an-instant read thermometer. Dip the finished chicken in the buffalo sauce and put them on the club rolls. Top the chicken with a liberal amount of slaw and form a sandwich.