Pour oil into deep fryer. If you don’t have a deep fryer, use a 10 inch heavy skillet or cast iron/ Fill no more than 1/3 full. Heat on medium-high heat to 350°F.
Season shrimp with Cajun seasoning. Allow to set for 5 minutes to marinate. Meanwhile, mix spicy mustard, egg, and buttermilk in shallow dish-mix well.
Coat each shrimp in fish fry, buttermilk mixture and fish fry again. Shake off any excess batter. Carefully add to hot oil, a few pieces at a time. Fry for about 4 to 5 minutes or until golden brown. Remove to a plate lined with a paper towel.
To make sauce, add all ingredients in a small bowl and mix well with a whisk.
To assemble sandwich, spread sauce on both sides of bread and line both side of the hoagie bun with the pepper jack cheese. Toast in the oven on 350 F. for about 2 minutes just until the cheese starts to melt. Remove from oven. Top cheese with shrimp and coleslaw. Serve.