Preheat a grill to medium-high. In a bowl, combine the shrimp, olive oil and creole seasoning. (If the seasoning is unsalted, add a pinch of salt.) In a small bowl, combine the mayonnaise, mustard and 1 1/2 teaspoons water, stirring until smooth.
Lay the baguettes open on plates. Layer with the lettuce, bell pepper, tomatoes and scallions.
Add the seasoned shrimp to the grill, cover and cook for 2 minutes. Flip and cook, covered, until just opaque throughout, 1 to 2 minutes more. Arrange the shrimp on top of the vegetables and drizzle with the mayo-mustard sauce.