Preheat oven to 200°. Place a wire rack on a baking sheet, and place in oven. Split bread loaves lengthwise, and scoop out most of centers. Reserve for another use. Place hollowed-out loaves on wire rack in oven, and warm 20 minutes (until you’re ready to assemble the sandwiches).
Meanwhile, pour vegetable oil to depth of 1 inch in a large Dutch oven; heat to 375°.
Combine mayonnaise and next 6 ingredients in a bowl. Combine crackers, salt, and pepper in a second bowl. Whisk together buttermilk and egg in a third bowl.
Dip oysters in buttermilk mixture; dredge in cracker crumbs. Fry in hot oil, in 2 batches, 1 to 2 minutes or until golden brown. Drain on a wire rack over paper towels.
Remove bread from oven. Spread cut sides of loaves with mayonnaise mixture; fill with oysters and shredded lettuce.