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Toss the shrimp with the canola oil, Cajun seasoning and salt. Grill until opaque, about 2 minutes per side. Remove from the grill.
To assemble the sandwich, spread the spicy mayonnaise on both sides of the bread. Fill with the grilled shrimp, tomato halves, sliced avocado and lettuce. Slice in half on the diagonal and serve. Also, try it without the bread and put the fillings into the Bibb lettuce!