Heat the oven to 350 degrees F. Place the bread on a rimmed baking sheet in the oven to warm and crisp while you prepare the shrimp.
Melt the butter in a 12-inch skillet over medium-high heat. Reduce the heat to medium low and add the lemon juice and sliced lemon peel, the Worcestershire sauce, garlic, bay leaves, paprika and cayenne. Season with salt and pepper. Stir and simmer for about 5 minutes to marry and blend the flavors, being very careful not to let the garlic brown.
Add the shrimp and increase the heat to medium. Cook, turning the shrimp with tongs, until all the shrimp begin to turn pink, about 3 minutes. Remove the skillet from the heat and cover. Let the shrimp remain in the sauce for an additional 5 minutes or so to absorb the flavors and to finish cooking. Discard the bay leaf. Taste and adjust the seasoning with salt and pepper.
Spoon the shrimp into the split toasted rolls and laissez le bon temps rouler!