How to Make It
Squeeze lemon halves into a medium saucepan, and place in pan. Add water and bay leaf; bring to a boil over high. Add shrimp, and cook until pink and opaque, about 1 minute and 30 seconds. Drain in a colander, and rinse under cold water 2 to 3 minutes to stop cooking process. Coarsely chop shrimp.
Stir together shrimp, mayonnaise, celery, fennel, shallot, lemon zest, lemon juice, Worcestershire, hot sauce, celery seeds, salt, and 1/2 tablespoon of the chives in a large bowl.
Place 2 to 3 lettuce leaves in each bun; top with 1/2 cup shrimp mixture. Sprinkle evenly with remaining 1/2 tablespoon chives.