Preheat oven to 375°F.
In a medium bowl, toss together the shrimp and the Cajun seasoning. Cover with plastic wrap and chill for at least 30 minutes.
On a baking sheet, toss together the bread cubes with 1 tablespoon olive oil, a pinch of salt and pepper, garlic, onion, and Italian seasoning. Bake until golden brown and crispy, about 15 to 18 minutes. Remove from the oven and let cool.
To make the dressing, combine the egg yolk, garlic, lemon juice, 1 or 2 anchovy fillets (depending on how you like them), a pinch of salt and pepper, Parmesan, and Worcestershire sauce in a small food processor. Blend until just beginning to come together. Then while the machine is running, drizzle in as much of the oil as needed to create a smooth thickened dressing. Transfer to a bowl and stir in the mayo, if using. Give it a taste and adjust seasoning if necessary, adding more salt or pepper if needed.
Set a large skillet over medium-high heat with the remaining tablespoon of oil. Once very hot, add in the shrimp and cook, stirring often, until the shrimp is no longer grey and have started to caramelize, about 8 to 12 minutes, depending on their size.
To assemble the lettuce wraps, fill each lettuce cup with shrimp, croutons, cheese and some of the Caesar dressing. Sprinkle with cracked black pepper and serve immediately. Enjoy!