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In a large heavy-bottomed pot, pour enough oil to fill the pan halfway. Heat until a deep-frying thermometer inserted in the oil reaches 360 degrees F.
Drain the oysters from the milk. In batches dip oysters in the egg mixture then drop in the paper bag. Close and shake. Remove to a plate and repeat with the rest of the oysters. When oil is at 360 degrees F, fry oysters in batches. Do not overcrowd. Cook turning once until golden brown and cooked through, about 3 minutes. Remove to a paper towel. Repeat with remaining oysters.
To serve, cut sandwich loaves in half horizontally. Slather a generous amount of Spicy Remoulade Sauce on the inside. Place a lettuce leaf inside and fill generously with oysters. Squeeze fresh lemon juice over oysters just before serving.