Preheat the air fryer: Set it to 400°F (200°C) for 3–5 minutes. A hot basket helps the fish get crisp fast.
Cook the fish fingers: Arrange them in a single layer in the basket.
Air fry for 8–12 minutes, flipping halfway. They should be golden and sizzling at the edges.
Make the quick sauce: In a bowl, mix mayo, yogurt (if using), lemon zest, 1–2 teaspoons lemon juice, Dijon, capers/pickles, dill, and garlic. Season with salt and pepper.
Adjust with more lemon for tang.
Toss the slaw: In another bowl, combine coleslaw mix and red onion. Add olive oil, vinegar, honey (if using), a pinch of salt, and pepper. Toss until lightly coated—keep it crisp, not soggy.
Warm the rolls: Split the rolls and lightly butter the cut sides.
Toast in a pan or the air fryer (2–3 minutes) until just golden.
Assemble: Spread sauce on the inside of each roll. Add lettuce if using. Layer 3–4 fish fingers per roll.
Add a spoonful of slaw. Finish with more sauce or a drizzle of hot sauce.
Serve immediately: The crunch is best right away. Add lemon wedges on the side if you like.