Stir together the cream cheese, celery, olives, Cajun seasoning, anchovy paste and lemon zest in a medium bowl until well blended.
Place the white bread slices on a work surface, and spread about 2 tablespoons of the cream cheese mixture on each slice. Place the wheat bread slices on the work surface; top each with 4 tomato slices in a single layer, and add a few arugula leaves. Place the white bread slices, cream cheese-side down, on the wheat bread slices.
Using a serrated knife, remove the crusts from the sandwiches with a gentle sawing motion, and then cut each sandwich into 4 triangular tea sandwiches.
Cover with plastic wrap and chill until ready to serve. Garnish each tea sandwich with a slice of pickled okra, if desired.