Poach sweetbreads in simmering water for 4 minutes. Remove and cool.
Slice sweetbreads into 1 inch bites. As you go, discard any tough tendons on the sweetbreads.
Soak sweetbread bites in buttermilk for at least a few hours.
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.
Toss all-purpose flour with paprika, salt, and pepper. Drain sweetbreads and add to flour mixture. Coat well with flour.
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:
Combine slaw ingredients in a large bowl. Toss with vinegars and oil and season with salt.
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:
Toast walnuts in a dry pan for a few minutes until fragrant.
Pulse with lemon zest and juice from 1/2 a lemon and mayo. Pulse until smooth.
Store in the fridge for up to a week.
To Make Sandwich:
Toast bread and slather with walnut mayo. Add a piece of crispy lettuce.
Top lettuce with fried sweetbreads. Add slaw to top of sweetbreads and drizzle with hot sauce if you want.