If using wooden skewers, soak in water for 30 minutes.
Combine all ingredients for the sweet pickle mayo in a bowl and whisk together. Taste and adjust. Refrigerate until serving.
Whisk together the olive oil, garlic, lemon juice, paprika, cayenne, Worcestershire, hot sauce, and salt and pepper to taste.
Thread shrimp onto skewers, approximately 5 shrimp per skewer. Place skewers in a 9x13 pan. Pour the olive oil mixture over the top. Cover and refrigerate 20 minutes.
Make the butter sauce. In a small sauce pan, melt butter. Stir in the lemon juice, hot sauce, and Worcestershire until well mixed. Remove from heat. Set aside.
Preheat grill to medium-high heat.
Grill the shrimp for 4 minutes, flipping halfway through.
Remove shrimp from skewers and toss in the butter sauce.
Spread both sides of the baguette with sweet pickle mayo. Layer on tomato and then shredded lettuce. Top with shrimp.
Serve immediately.