Many believe that brothers Benny and Clovis Martin created the first version of a po’boy as a free meal for striking New Orleans streetcar drivers in 1929. According to legend, the Martins would say “Here comes another poor boy!” when someone approached for a sandwich, which was half a French bread loaf stuffed with fillings like fried shrimp and oysters.
Make the shrimp: Whisk the flour, cornmeal, Cajun seasoning, 1 tablespoon salt and 1 teaspoon pepper in a medium bowl. Stir together the milk and hot sauce in a large bowl; add the shrimp. Working in batches, remove the shrimp from the milk mixture, letting the excess drip off, and add to the bowl with the flour mixture; toss to coat. Transfer to a plate and refrigerate 15 minutes to let the coating set.
Meanwhile, make the rémoulade: Combine the mayonnaise, pickles, shallot and hot sauce in a small bowl; season with salt and pepper.
Fry the shrimp: Line a baking sheet with paper towels. Preheat the oven to 350˚ F. Heat 2 inches of vegetable oil in a large heavy pot over medium heat until a deep-fry thermometer registers 360˚ F. Working in batches, fry the shrimp until golden brown and crisp, 2 to 3 minutes. Remove to the prepared baking sheet with a slotted spoon; season with salt. Adjust the heat as needed between batches.
Meanwhile, put the rolls on a baking sheet and bake until toasted, about 5 minutes. Spread the rémoulade on the cut sides and fill with lettuce, the shrimp and tomatoes. Serve with more hot sauce.