Fill a large pot or skillet with enough vegetable oil to fill just about halfway. Heat to 350°F.
Mix all of the seasoning together and pour half of it into a bowl with the shrimp. Toss to combine. In a separate bowl, whisk the eggs and milk together until smooth. In a third bowl, combine the flour, cornmeal and remaining seasoning mixture.
To coat the shrimp, pass through the dry ingredients, then into the egg and once again into the dry. Shake to remove excess coating and place on a wire rack set over a baking sheet. Continue breading until all the shrimp are coated. Allow to sit for about 10 minutes to air dry out a bit.
Fry the shrimp in batches until golden brown, stirring constantly, about 4 minutes. Drain and transfer to a plate lined with paper towels. Season with a bit of salt, while hot. Continue frying the rest. Place on a wire rack set over a baking sheet and rewarm in the oven right before serving.
To make the Creole mayo, whisk the mayo, mustard and hot sauce in a small bowl until smooth.
To assemble the sliders, warm the buns, split in half and spread each half with Creole mayo. Place about 2 to 3 shrimp on each and top with shredded lettuce, tomato and pickles. Top and skewer with a long toothpick. Serve immediately. Enjoy!