PLACE buttermilk and hot sauce in a medium mixing bowl; stir to combine. Add shrimp and marinate for up to 30 minutes in refrigerator.
PLACE corn meal, flour, salt and pepper in another medium bowl; stir to combine.
HEAT vegetable oil in a medium heavy pot or deep-fryer until temperature reaches 360º F.
REMOVE shrimp from buttermilk marinade and transfer them to cornmeal mixture, working in batches. Dredge to coat, shaking to remove any excess breading.
COOK shrimp in small batches in oil until golden brown and crispy, 2 to 3 minutes. Remove with a slotted spoon and transfer to paper towels to drain. Season with salt and pepper and set aside.
SPREAD bottom halves of bread with melted butter. Generously spread top halves of bread with mayonnaise. Divide fried shrimp evenly among bottom halves of bread and top them with lettuce, tomato and sliced pickles. Place top halves of bread over fillings and press lightly.
SERVE immediately with Zapps® or your favorite potato chips.