How to Make It
In a large shallow dish, combine 1/4 cup of the olive oil with the rosemary, lemon zest and two-thirds of the garlic. Stir in the shrimp and refrigerate for 2 to 4 hours.
In a bowl, stir the mayonnaise with the scallions, cornichons, shallot, celery, tarragon, sherry vinegar, paprika, celery seeds and the remaining minced garlic. Season with salt and pepper.
Light a grill. Toss the shrimp with the gin and sherry. Thread the shrimp onto 8 skewers; season with salt and pepper. Grill the shrimp over a hot fire until lightly charred and cooked through, 3 minutes per side; let cool slightly. Stir the grilled shrimp into the mayonnaise dressing.
Brush the cut sides of the hot dog rolls with olive oil and grill until toasted. Place a sorrel leaf in each roll, spoon the shrimp salad into the rolls and serve.