Slice the bread in half horizontally and lengthwise, then slice the loaf into 2 to 4 sections, depending on how big you want each sandwich to be. Scoop out some of the fluffy bread from the middle if you wish; that’s a personal choice (but common in the po’ boy world of New Orleans).
Combine the flour, cornmeal, salt, pepper, paprika, garlic powder, and cayenne pepper in a shallow bowl. Mix the egg with the milk in another bowl and season with a bit more salt and pepper. Place a wire rack on a baking sheet.
A few at a time, dunk the shrimp in the milk mixture, turning them to coat. Using a slotted spoon or your hand, remove the shrimp, allow any excess liquid to drip back into the bowl, then dredge them in the flour mixture, make sure they are well coated. As the shrimp are breaded, place them, without touching, on the wire rack. When all of the shrimp are coated, place the baking sheet into the fridge and let the shrimp chill for 15 minutes.
Line a large plate with paper towels. Pour the oil to a depth of 1 inch into a large, heavy deep skillet. Heat the oil over medium-high heat to 365 F (see Note). In a few batches, add the shrimp, turning them with a slotted spoon as they cook. They should fry for about 2 to 3 minutes total, and become golden brown and crispy. Remove them with a slotted spoon to the paper towel lined plate. See if they need another light sprinkle of kosher salt. Continue frying until all of the shrimp are cooked and crispy.
Spread some remoulade or mayo on the toasted bread. Add some shredded lettuce to the bottom piece, then pile on the warm shrimp and tomatoes. Top with a bit more sauce and a bit more lettuce if you like, and the top of the bread. Serve immediately.
Notes
If you don’t have a candy thermometer, just wait until the oil is shimmering, then add one shrimp. If it starts to gently sizzle and turn golden brown after about 2 minutes, your oil is the perfect temperature. You may need to allow the oil to come to come back up to temperature in between batches of shrimp. Don’t overcrowd the shrimp; they need to be cooked in batches to fry up properly.