Preheat the oven to 190˚C, gas mark 5. Put the scampi on a baking tray and bake for 15 minutes. Meanwhile, mix the mayonnaise, tomato ketchup, Cajun rub, horseradish, garlic and pickle juice.
Cut the baguette into three equal pieces and split each down the middle. Spread with the mayonnaise mixture and pile up with the lettuce leaves, sliced tomatoes and pickled cornichons.
Add the scampi, drizzle over any remaining mayonnaise and serve immediately.