Put the milk in a medium bowl and season with salt and pepper. Add the fish and set aside to soak until ready to fry. Put the cornmeal in a baking dish and add 1/2 teaspoon each salt and pepper.
Combine the scallions, mayonnaise, mustard, jalapenos and 1/2 tablespoon pickling juice in a bowl. Heat about 2 inches vegetable oil in a large pot over medium heat until a deep-fry thermometer registers 350 degrees F. Remove 2 fillets from the milk, shaking off the excess, and dredge in cornmeal to coat. Carefully lower into the oil and fry until golden and just cooked through, 4 to 5 minutes. Transfer to a paper towel-lined plate and season with salt. Repeat with the remaining fillets.
Toss the lettuce with the jalapeno dressing and season with salt, pepper and more pickling juice, if desired. Divide the fish and slaw among the rolls.