In a bowl, combine the shrimp, mayonnaise, lemon juice, celery, celery leaves, dill, and capers. Fold together gently to mix well. Season with salt and pepper.
Place a large skillet over medium heat. Butter the hot dog rolls and place in the skillet. Toast until golden on each side. Transfer the rolls to a serving plate. Put some lettuce in each roll and divide the mixture among the rolls.