To prepare pickled red cabbage: In a large bowl, combine the cabbage and onion. Set aside. Combine sugar, vinegar, water, salt and pepper in a saucepan and bring to a boil over medium heat. Cook, stirring occasionally, just until the sugar and salt are dissolved. Pour hot liquid mixture over the cabbage. Let cool for a few hours before using. Use a slotted spoon to scoop the cabbage onto the sandwiches so that you can retain the pickling juices.
To prepare walleye: Combine Parmesan, bread crumbs, cornmeal, parsley, paprika, cumin, garlic, salt and pepper on a plate. Place the flour on a separate plate. Place the beaten eggs on a third plate. In a deep fryer, heat the oil to 350 degrees. Dredge the fillets in flour, then egg wash, and finally cornmeal breading. Fry the fillets until golden brown; when finished cooking, they should float. Remove to paper towel-lined plate.
To assemble: Butter each side of halved rolls and broil, butter side up, until golden brown and toasted. Spread Cajun mayo on each roll to taste; add a walleye fillet and pickled red cabbage to taste.