Pour enough oil into a dutch oven so that it comes up 2 inches from the bottom. Preheat oil over medium heat until it registers 360 degrees F.
While your oil is heating up, prepare your shrimp. Season the shrimp generously with salt and black pepper. In a large bowl, whisk together the flour, cornmeal, creole seasoning and cayenne pepper. Split the mixture evenly into two smaller bowls. In another bowl, add the beaten eggs.
Add the shrimp to one of the bowls with the flour mixture and toss. Then transfer the shrimp to the bowl with the eggs and turn to coat. Lastly transfer the shrimp to the second bowl with the flour mixture. Toss until the mixture adheres, pressing to adhere where needed.
Fry the shrimp in batches until they are cooked through and golden brown, which won't take long, about 3-4 minutes. Transfer to a paper towel-lined plate to get rid of any excess grease.
In a small bowl, whisk together the mayo and cayenne pepper sauce. Slather the mayo mixture onto the 4 hoagie rolls and then top with shrimp, lettuce, tomato and pickle. Drizzle with more cayenne pepper sauce if desired.