If you have time, lightly season the fish with sea salt flakes up to an hour before coating them, then cover and chill to firm it up. Put the flour mixed with some salt and pepper in a shallow bowl, then the beaten egg and breadcrumbs in another two bowls. Working in batches, coat the fish in the seasoned flour first, then shake off any excess and dip in the egg, followed by the breadcrumbs, then put the coated fish fingers on a plate. Can be done a day ahead and kept chilled overnight.
Pour enough oil into a large frying pan so that it covers the base. Heat the oil over a medium-high heat, then fry
the fish fingers in batches until golden on each side and cooked through (approx 3-4 mins each side). Drain on kitchen paper, season with sea salt, then transfer to a low oven to keep warm while you make the sauce.
Put the gherkins in a bowl and mix with the mayonnaise and lemon juice. Split the hot dog buns, toast the cut-side under the grill, then spread each roll with 1 tbsp of the mayonnaise mixture, add a handful of lettuce, then a hot fish finger on top. Serve with the lemon wedges for squeezing over.