In a small bowl, combine paprika, smoked paprika, garlic powder, onion powder, dried thyme, dried oregano, cayenne, black pepper, and kosher salt. Mix well to make the blackening spice.

Sprinkle the spice blend over the oiled shrimp and toss to coat evenly. Let sit 5–10 minutes to absorb flavors.

Cook the shrimp

Heat a large cast-iron or heavy skillet over medium-high heat until very hot (about 2–3 minutes). Add a thin film of oil to the pan if it looks dry. Add shrimp in a single layer, cooking in batches if necessary to avoid crowding. Cook shrimp 1.5–2 minutes per side until opaque, nicely charred on exterior and just cooked through (internal temperature ~120–125°F). Remove shrimp to a plate and cover loosely with foil to keep warm.

Remoulade sauce

In a medium bowl, combine mayonnaise, Creole or Dijon mustard, prepared horseradish, lemon juice, Worcestershire sauce, and hot sauce. Whisk until smooth.

Fold in finely chopped cornichons or dill pickles, chopped green onions, and chopped parsley. Season with paprika, 1/4 teaspoon salt, and 1/4 teaspoon black pepper. Taste and adjust acidity or heat (add more lemon or hot sauce) as desired. Refrigerate until ready to assemble.

Sandwich assembly

Preheat oven to 350°F (175°C) or use a toaster oven. Slice rolls lengthwise without cutting all the way through. Spread softened butter on cut sides and toast in oven for 5–7 minutes until lightly golden and crisp.

Spread a generous layer (about 1–1.5 tablespoons) of remoulade on both cut sides of each toasted roll.

Divide the warm blackened shrimp among the four rolls (about 4 ounces shrimp per sandwich). Arrange shrimp along the bottom of each roll.

Top shrimp with a layer of shredded lettuce (about 1/2 cup per sandwich), 2–3 tomato slices per sandwich (or 1/4 cup sliced tomato), and 3 pickle slices. If desired, squeeze a little lemon over the shrimp for brightness.

Close the rolls, press gently, slice in half if desired, and serve immediately with extra remoulade on the side.