For the shrimps, beat the egg and milk together in a bowl. Season the prawns and shrimps with salt and freshly ground black pepper.
In a separate bowl, mix together the polenta, Creole seasoning and flour.
Dip the prawns and shrimps into the egg mixture, then into the polenta mixture, to coat.
Heat the oil in a pan and fry the prawns and shrimps for six minutes, turning once or twice, until crisp and golden-brown.
To serve, cut the rolls in half and fill with the lettuce, gherkins, tomatoes and mustard.
Top with the prawns and shrimps and drizzle with Jamaican pepper sauce, if using, and a squeeze of lemon juice.