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Cook the scampi in the oven following pack instructions. Add the baguettes or rolls to the oven for the first 5 minutes of cooking, to crisp up the outsides, then remove to cool. Cut in half lengthways.
Mix together all of the dressing ingredients and the tbsp of pickle liquid with a little seasoning.
Spread the dressing thickly on both sides of the cut rolls, then pile in the scampi. Add shredded lettuce, tomato and dill pickle slices, then add a little more dressing and a pinch of extra cajun seasoning, if you like.