Preheat oven to 450°F. Spray a large, rimmed baking sheet with nonstick cooking spray; set aside.
In a large bowl, toss together the shrimp, Creole or Cajun seasoning, lemon juice, and olive oil. Cover and refrigerate for 15-20 minutes.
While the shrimp marinate in the fridge, prepare the remoulade sauce. Whisk all of the sauce ingredients together in a medium bowl or large glass measuring cup. Cover and refrigerate until ready to use.
Using a slotted spoon, remove the shrimp from the marinade; arrange them in a single layer on the prepared baking sheet.
Roast the shrimp until they’re pink and firm, about 4-5 minutes.
Assemble the sandwiches by spreading some of the remoulade sauce on each piece of lightly toasted bread. Add roasted shrimp, and top with lettuce, tomato, and pickles. Serve with hot sauce on the side.