Whisk the sauce ingredients together in a small bowl until well combined. Set aside.
In a shallow dish, stir together the cornmeal, flour, smoked paprika, and salt.
Pour the buttermilk into a separate shallow bowl.
Pat the oysters dry with paper towels.
Dip each oyster into the buttermilk, then press it into the cornmeal mixture until it is fully coated.
Heat about 3 inches of oil in a heavy pot over medium-high heat until it reaches 350 degrees F.
Fry the oysters in small batches until they are golden brown and crispy, about 2-3 minutes per batch.
Drain the fried oysters on a wire rack or a plate lined with paper towels.
Butter one side of each bread slice and toast in a skillet over medium heat until golden brown.
Spread the horseradish sauce onto four slices of the toasted bread.
Layer the lettuce, tomato slices, and fried oysters onto the sauced bread, then top with the remaining toast slices.
Serve immediately with lemon wedges on the side.