Heat grill. In large bowl, combine butter, onion, bell pepper, ketchup, Worcestershire sauce, lemon juice, hot pepper sauce and paprika; mix well. Add shrimp; toss gently to coat.
Cut 18x12-inch sheet of heavy-duty foil. Place shrimp in center of foil. Drizzle with remaining butter mixture. Wrap packet securely using double-fold seals, allowing room for heat expansion.
When ready to grill, place packet, seam side up, on gas grill over medium heat or on charcoal grill 4 to 6 inches from medium coals. Cook 10 to 14 minutes or until shrimp turn pink, rearranging packet twice.
Meanwhile, cut bread in half lengthwise; cut each half crosswise into 4 sections. To toast bread, spread each cut side with mayonnaise. During last 1 to 2 minutes of cooking time, place bread, cut side down, on grill; cook until lightly toasted.
To serve, open packet carefully to allow steam to escape. Place shrimp mixture evenly on bottom sections of toasted bread. Top each with lettuce, tomato and 4 pickle slices. If desired, add Creole mustard and additional hot pepper sauce. Cover with top sections of bread.