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.
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.
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.