Parsley Mayonnaise: In a bowl, combine all the ingredients. Refrigerate.
Cajun Shrimp: In a large nonstick skillet over high heat, brown the shrimp in half the oil. Season with salt and pepper. Set aside on a plate.
In the same skillet, brown the pepper and shallot in the remaining oil. Return the shrimp to the skillet. Add the garlic and spices. Cook for 1 minute, stirring continuously. Deglaze with the lemon juice and Worcestershire sauce. Adjust the seasoning. Set aside.
Toast the buns. Spread the inside of the buns with the parsley mayonnaise. Place the Cajun Shrimp on the buns. Garnish with tomatoes and lettuce. Cover and serve.