Heat the peanut oil in a dutch oven or a heavy pot. Use your ChefAlarm to monitor the temperature, setting the high-temp alarm for 375°F (191°C) and the low-temp alarm for 350°F (177°C). While the oil heats, combine the cornmeal, bread crumbs, salt, and nutmeg in a shallow bowl.
Remove one oyster at a time from the milk bath, draining off excess moisture, and dredge it in the cornmeal/breadcrumb mixture. Set it on a rack set into a cookie sheet.
Repeat with all the oysters.
When the oysters are all breaded, start frying. Put 4–6 oysters into the pot of oil at a time and cook until just golden brown, about 1½–2 minutes. Keep an eye on the oil temp on your ChefAlarm!
Move the fried oysters to a rack lined with paper towels and sprinkle with black pepper.
Repeat the frying for all the oysters, letting the temperature in the pot recover to 375°F (191°C) between batches.
Cut the rolls nearly in half, open them, and pull a little of the bread out of the belly of the bread to accommodate the oysters. Place 6 oysters in each roll and top with about a half cup of the lettuce slaw.
Serve, passing more hot sauce at the table is you like.