Lightly beat egg, milk, 1/2 teaspoons salt, and 1 teaspoons black pepper in a bowl.
Mix flour, 1/2 teaspoons salt, and 1 teaspoons black pepper in a shallow baking dish.
Mix cornmeal, 1 teaspoons salt, and cayenne pepper in another small baking dish.
Dredge 8 oysters in flour, knocking off excess, then dip into egg mixture, letting excess drip off. Then dredge in cornmeal mixture, knocking off excess. Transfer to a rack or plate until frying. Repeat with remaining oysters in batches of 6-8, until they are all done.
Heat oil in a 4-qt. pot over high heat to 375º.
While oil is heating, cut bread into 4 equal portions (half and half again) then split horizontally all the way through. Put bread in oven, directly on the rack, until warm - about 5 minute.
While bread is heating, gently drop 1/3 of the oysters into the hot oil and fry, stirring occasionally, until golden - about 45-60 sec. Transfer to papertowels to drain. Fry remaining oysters in the same manner and small batches.
Spread bread with mayonnaise topping with lettuce and TONS of oysters.