In a bowl mix together the mayonnaise, lemon rind, lemon juice, black pepper, mustard, Worcestershire sauce, Tabasco sauce, mashed anchovy fillet, Parmesan and garlic.
Keep adding 1 tbsp of the oil and keep whisking.
After the oil is well combined, keep a grill pan on medium heat.
Drizzle cooking spray on the pan.
Add shrimp and 2 tbsp oil in a bowl and toss.
Cook the shrimp on both sides for 2 1/2 minutes till you see a grill mark and the shrimp is cooked.
Cut the baguette slices into 8 pieces, brush with oil and cook on the same pan for about a minute.
Before serving, add the baby lettuce to the mayo mix and toss.
Divide the mix into four portions, divide the shrimp evenly and serve with two sliced of bread per person.