1) Soak sweetbreads overnight in cold water.
2) Poach sweetbreads in simmering water for 4 minutes. Remove and cool.
3) Slice sweetbreads into 1 inch bites. As you go, discard any tough tendons on the sweetbreads.
4) Soak sweetbread bites in buttermilk for at least a few hours.
5) When ready to make sandwiches, heat about 1 inch of oil in a large high-walled frying pan or in a heavy pot. Heat to 350 degrees.
6) Toss all-purpose flour with paprika, salt, and pepper. Drain sweetbreads and add to flour mixture. Coat well with flour.
7) Fry sweetbread bites for about 4-5 minutes until they are golden brown. Remove and let drain on a paper towel. Add sweetbreads to sandwich while still warm.
To Make Slaw:
1) Combine slaw ingredients in a large bowl. Toss with vinegars and oil and season with salt.
2) Ideally, make this a few hours before so the ingredients have some time to pickle. You could make the night before without a problem.
To Make Mayo:
1) Toast walnuts in a dry pan for a few minutes until fragrant.
2) Pulse with lemon zest and juice from 1/2 a lemon and mayo. Pulse until smooth.
3) Store in the fridge for up to a week.
To Make Sandwich:
1) Toast bread and slather with walnut mayo. Add a piece of crispy lettuce.
2) Top lettuce with fried sweetbreads. Add slaw to top of sweetbreads and drizzle with hot sauce if you want.
3) Slice the sandwich in half and serve immediately.