Preheat the barbecue grill
Make the Sauce:
In a medium saucepan, heat the oil.
Sweat the shallots for about 2 minutes.
Do not brown.
Deglaze the pan with the wine and vinegar and reduce slightly.
Pour in the cream and reduce the sauce by half.
Whisk in the butter and strain into a clean pan.
Season with lemon juice and salt and pepper to taste.
Keep warm.
Cook the shrimp :
Sprinkle the vegetable oil over the shrimp .
Grill the shrimp , about 1 1/2 minutes on each side.
Do not overcook. Drain and cut each shrimp in half lengthwise.
Make the sandwich:
For each sandwich, spread a little mayonnaise on one slice of bread and arrange a little lettuce on the bread.
Top with 3 slices of tomatoes, season lightly with salt and pepper, and arrange the bacon on the tomatoes.
Top with the second slice of bread, a thin layer of mayonnaise and a little lettuce.
Heat the shrimp in the lemon butter and arrange on the lettuce.
Top with the third slice of bread and cut in half.
Serve immediately.