Steam the crayfish for 4 to 5 minutes until pink, then peel once cooled while reserving four whole for garnish.
Whisk egg yolks, vinegar, and mustard in a food processor until creamy.
Slowly stream in the oil with the motor running until the mixture thickens into mayonnaise.
Stir in ketchup, Worcestershire sauce, Tabasco, brandy, and lemon juice into the mayonnaise.
Season with salt and pepper and fold in the crayfish tails.
Grill both sides of the bread, slice horizontally to reveal the soft center, and grill the inner sides until golden.
Cut the toast into diagonal quarters.
Layer lettuce in glasses, top with the crayfish mixture, dust with cayenne, and garnish with whole crayfish.