Prepare a large ice-water bath. In a very large pot of boiling salted water, cook the lobsters until they turn bright red, about 10 minutes. Using tongs, plunge the lobsters into the ice-water bath for 2 minutes, then drain.
Twist off the lobster tails and claws and remove the meat. Remove and discard the intestinal vein that runs the length of each lobster tail. Cut the lobster meat into 1/2-inch pieces and pat dry, then transfer to a strainer set over a bowl and refrigerate until very cold, at least 1 hour.
In a large bowl, mix the lobster meat with the mayonnaise and season with salt and pepper. Fold in the diced celery, lemon juice and cayenne pepper until well blended.
Heat a large skillet. Brush the sides of the hot dog buns with the melted butter and toast over moderate heat until golden brown on both sides. Transfer the hot dog buns to plates, fill them with the shredded lettuce and the lobster salad and serve immediately.
Suggested Pairing: During the summer, dry rosé is a traditionally favorite. Served chilled, it’s as refreshing as white wine, yet it has the fruit and substance of a light red, making it a versatile partner for food.