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If you have time, lightly season the fish with sea salt flakes up to an hour before coating them, then cover and chill to firm it up. Put the flour mixed with some salt and pepper in a shallow bowl, then the beaten egg and breadcrumbs in another two bowls. Working in batches, coat the fish in the seasoned flour first, then shake off any excess and dip in the egg, followed by the breadcrumbs, then put the coated fish fingers on a plate. Can be done a day ahead and kept chilled overnight.
If you're using the frying pan, pour enough oil into a large frying pan so that it covers the base. Heat the oil over a medium-high heat, then fry the fish fingers in batches until they are golden on each side and cooked through (approximately 3-4 mins each side). Drain them on kitchen paper, season with sea salt, and transfer to a low oven to keep warm while you make the sauce.
If you're using the air-fryer, preheat it to 200C for 4 mins. Brush the air-fryer basket lightly with oil. Cook the fish fingers in the air-fryer basket for 6 mins, turning them halfway through until they are lightly golden and cooked through. Season with sea salt.
Split the hot dog buns and add them to the air-fryer (if using the air-fryer) for 1-2 mins to warm through. Alternatively, you can toast the buns under the grill if you're following the frying pan method.
Put the gherkins in a bowl and mix with the mayonnaise and lemon juice. Spread each hot dog roll with 1 tbsp of the mayonnaise mixture, add a handful of lettuce, then a hot fish finger on top. Serve the fish finger hot dogs with lemon wedges for squeezing over.