1. Preheat oven to 450°F, Cover a cookie sheet well with oil.
2. Break eggs into a bowl and beat them well, set aside.
3. In a separate bowl mix together cornmeal, chile powder and salt and pour onto a plate.
4. Remove stems from mushrooms. Dip each mushroom in egg, then press into cornmeal mixture on each side and place on baking sheet.
5. Spray the tops of each mushroom with oil -- if you don't have a spray bottle, just dab a little bit of oil on the top of each mushroom. Bake mushrooms until they are browned and crisped on the top.
6. For the sauce: Mix together mayonnaise, horseradish, mustard, cayenne pepper, lemon juice, celery and scallions in a separate bowl.
7. Assemble and enjoy! Split open rolls and toast them in the oven. Remove and slather with sauce, fill with mushrooms, and add sliced tomatoes, pickles, and shredded lettuce as desired.