Peel shrimp, leaving tails on. Butterfly shrimp by making a deep slit down the back of each from large end to tail, then devein the shrimp. Place shrimp in a large bowl.
Whisk together milk, egg, mustard, and 1 tsp Cajun seasoning. Pour over shrimp. Let stand 15 minutes-1 hour.
Combine fish fry mix and 1 tsp Cajun seasoning. Dredge shrimp in fish fry mixture, shake off excess. Arrange on baking sheets.
Pour oil to a depth of 3 inches into a dutch oven, heat oil to 325 degrees. Fry shrimp, in batches(don't overcrowd!), 1 1/2 minutes on each side until golden brown; drain on wire racks over paper towels.