Prep the chicken. Ensuring they are slightly larger than the size of the bun you’re using. In a medium size bowl, pour in the buttermilk. Add cayenne, salt and pepper. Stir and add chicken, completely submerge in the milk. Set aside for 1 hour or overnight.
Set wire rack in rimmed baking sheet. In wide, shallow bowl, add the panko, pepper and 1 tsp cayenne,
Working with 1 piece at a time, place chicken in panko and turn to coat both sides. Place on prepared rack. Refrigerate, uncovered, until ready to fry. While chicken rests, make sauce and blue cheese spread.
Melt butter in small saucepan over medium heat. Add cayenne and cook, stirring constantly, until fragrant, about 30 seconds. Add hot sauce (mixture may sputter) and cook, stirring occasionally, until sauce is thickened and spatula drawn across bottom of pan leaves trail that takes longer than 5 seconds to fill in, 4 to 5 minutes. Remove from heat and stir in vinegar.
In small bowl, mash blue cheese with fork until no pieces larger than ¼ inch remain. Add mayonnaise and continue to mash until incorporated. Stir in buttermilk and vinegar until combined. Refrigerate until needed.
Heat oil in a deep pot until it’s 350°. Careful place one piece of chicken into the oil. Don’t crowd the oil, as it will cool down the oil down. I fried 2 at a time, then let the onion warm back up for the next 2. Check the temperature of the chicken. It should be at least 160°.
Place a second wire rack in second rimmed baking sheet. Transfer chicken to prepared rack. Using pastry brush, coat top of chicken with Buffalo sauce.
Open buns on cutting board. Transfer 1 chicken piece, sauce side down, to each bun bottom. Brush remaining Buffalo sauce over chicken. Top each chicken piece with ½ cup lettuce. Spread each bun top with 2 teaspoons blue cheese spread. Invert bun top onto each sandwich and serve, passing remaining blue cheese spread separately.