- Put the milk in a medium bowl and season with salt and pepper. Add the fish and set aside to soak until ready to fry. Put the cornmeal in a baking dish and add 1/2 teaspoon each salt and pepper.
- Combine the scallions, mayonnaise, mustard, jalapenos and 1/2 tablespoon pickling juice in a bowl. Heat about 2 inches vegetable oil in a large pot over medium heat until a deep-fry thermometer registers 350 degrees F. Remove 2 fillets from the milk, shaking off the excess, and dredge in cornmeal to coat. Carefully lower into the oil and fry until golden and just cooked through, 4 to 5 minutes. Transfer to a paper towel-lined plate and season with salt. Repeat with the remaining fillets.
- Toss the lettuce with the jalapeno dressing and season with salt, pepper and more pickling juice, if desired. Divide the fish and slaw among the rolls.