Whisk together the cream and barbecue sauce. Pour it into a large sauté pan and bring it to a simmer. Continue simmering for 45 minutes, occasionally whisking and scraping the sides and bottom. The sauce may separate; just keep whisking it back together. When the 45 minutes are up, remove the pan from the heat, add the orange juice and whisk the sauce together. Allow to cool completely. This sauce can be made a day in advance and stored in the refrigerator.
To make the sandwiches, first shred the raw shrimp using a knife or the slicing attachment of a food processor; I prefer the latter. Put the shrimp in a bowl and toss it together with the seasonings and oil. Place a large sauté pan on high heat and get it hot. Add the shrimp and sauté for a couple of minutes until all of the pieces turn pink. Stir in the sauce and reduce the heat to low. Cook just as long as it takes for the sauce to warm up. Serve in bolillos with sliced pickles and onions.