Preheat oven to 400 degrees
Roll shrimp in egg, then corn meal and lay on a cooling rack on a cookie sheet. Bake for 15 minutes, flipping once.
While shrimp cooks, shred lettuce, slice and dice tomatoes and pickles.
Spread rolls with mayonnaise and top with shrimp, lettuce, tomatoes and pickles.
Optional sauce: make 'fancy sauce' with 2 parts mayonnaise or plain Greek yogurt and 1 part Sriracha.
Make Shrimp Po'boy kid friendly, use hot dog bun or omit the roll all together. Serve tomatoes, pickles and shrimp together with sauce on the side.