Prepare all ingredients as instructed above.
In a bowl, season the shrimp with Cajun seasoning and toss with extra-virgin olive oil until evenly coated.
Preheat a grill or grill pan to medium heat.
In a small bowl, whisk together the mayonnaise, sriracha sauce, Creole mustard, horseradish, Worcestershire sauce, minced shallot, minced garlic, and lemon juice to make the remoulade.
Grill the shrimp for about 2–3 minutes per side, or until they are opaque to an internal temperature of 120°F 48°C.
Lightly toast the rolls on the top rack of the grill
Spread the sauce inside the roll. Fill with shredded lettuce, tomato slices, jalapeño slices (if using), and grilled shrimp. Drizzle with remaining remoulade sauce if preferred.
Add the lemon slice to the sparkling water. Serve over ice optional.
Serve with carrots, hummus, and lemon sparkling water.