Preheat the oven to 400°F.
Toss the shrimp on a baking sheet with olive oil, salt and pepper. Roast for 5 minutes, or until cooked through and bright pink. Let cool.
In a large bowl, combine the scallions, mayo, Old Bay, onion, lemon juice, mustard, celery, salt and pepper. Fold in the shrimp.
To make the coleslaw, in a large bowl, combine the mustard, vinegar, sugar, salt, pepper, and mayonnaise. Fold in the cabbage, carrots, and onion. Season with salt and pepper.
Line the rolls with lettuce leaves, fill with shrimp salad and serve with coleslaw.