In a 12-inch cast-iron or heavy skillet, heat 1 inch of oil, over medium-high, until an instant-read thermometer registers 350°F.
Meanwhile, in a small bowl, combine mayonnaise and garlic; mix well.
In a separate small bowl, combine pepper and salt.
Heat a medium non-stick skillet over medium heat.
Using 1 teaspoon of garlic mayonnaise per bun, spread on outer sides of buns, then toast, in non-stick skillet, until golden, about 1 minute per side; transfer to plates.
Season shrimp with about 1 teaspoon of the pepper-salt, dip in milk; dredge in cornstarch, gently pressing so cornstarch adheres.
Working in two batches, fry shrimp until crispy and cooked through, turning halfway; about 2 minutes; transfer to a paper towel-lined plate to drain.
Season with more of the pepper-salt mixture.
Smear some garlic mayonnaise on the inner center of buns and divide shrimp among buns.
Top with chilies, cilantro and more pepper salt; serve with lime wedges.