- Preheat oven to high broil. Brush rolls with butter on the inside and broil until golden brown.
- Set aside until filling is ready.
- Mix mayonnaise, lemon juice, cayenne pepper, old bay seasoning and salt to taste in a medium size bowl. In another bowl, mix cooked shrimp, celery and red onion.
- Spread lemon aioli on the toasted rolls (leaving some to mix with the shrimp) and divide shredded lettuce evenly between each roll.
- Mix the remaining aioli with shrimp and evenly distribute between the rolls.