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1. Preheat oven to 400 degrees F. Thaw fish, if frozen. In a medium bowl, whisk together mayonnaise, vinegar, horseradish, and sugar. Set aside 2 tablespoons of the mixture. Add coleslaw mix, celery, and parsley to the remaining mayonnaise mixture; stir to coat.
2. Rinse fish; pat dry with paper towels. Measure the thickness of fish fillets. Lightly coat a foil-lined shallow baking pan with nonstick cooking spray. In a shallow dish, combine egg and milk. In another shallow dish, combine cornmeal, bread crumbs, salt, and pepper; stir in olive oil until well mixed. Dip fish into egg mixture, then into cornmeal mixture, turning to coat both sides.
3. Place fish in prepared baking pan. Bake for 4 to 6 minutes per 1/2-inch thickness or until fish flakes easily when tested with a fork.
4. To assemble sandwiches, cut rolls in half and hollow out some of the insides of the top halves; discard crumbs. Spread the reserved 2 tablespoons mayonnaise mixture on the bottom halves of the rolls. Place fish on top. Cover with coleslaw mixture and the top halves of rolls.