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Preheat the oil in a deep fryer to 365 degrees F. Alternatively, fill a cast-iron pot halfway with vegetable oil and heat until a deep-frying thermometer inserted in the oil reaches 365 degrees F.
Halve the bread lengthwise. Spread the mayonnaise on the top half of the bread, then add the lettuce, ketchup, pickle slices and some hot sauce. On the bottom half of the bread, layer the cheese and fried shrimp, and then pour 1/4 cup of the hot gravy over the shrimp. Close the two bread halves and slice the sandwich in half to serve.