01 - Combine milk, water, butter, and salt in a medium saucepan. Bring to a rolling boil over high heat. Reduce heat to low, add flour all at once, and stir vigorously with a wooden spoon until dough forms a ball and pulls away from pan sides. Transfer to a clean surface, let cool 2-3 minutes, then knead until smooth. Cover with plastic wrap and set aside.
02 - Bring a pot of salted water to simmer. Add shrimp and cook 2-3 minutes until just pink and opaque. Drain immediately, rinse under cold water, and pat dry. Finely chop shrimp into small pieces. Set aside.
03 - Melt butter in a skillet over medium heat. Add onion and sauté 4-5 minutes until translucent and softened. Add garlic and cook 1 minute until fragrant. Sprinkle flour over mixture and cook 1-2 minutes, stirring constantly. Gradually whisk in milk, stirring to eliminate lumps. Simmer 2-3 minutes until thickened. Add chopped shrimp, lemon juice, parsley, salt, and pepper. Cook 2 minutes more. Transfer to bowl and refrigerate 20-30 minutes until firm.
04 - Roll dough on lightly floured surface to ⅛-inch thickness. Using a 3-inch round cutter, cut 24 circles. Place 1 teaspoon chilled filling in center of each circle. Fold dough over to form half-moon shape. Press edges firmly to seal, crimping with fork tines for secure closure.
05 - Set up breading station: beaten eggs in shallow bowl, breadcrumbs in separate bowl. Dip each rissois in egg, allowing excess to drip off, then press into breadcrumbs to coat evenly. Transfer to baking sheet lined with parchment paper.
06 - Heat 2 inches vegetable oil in deep fryer or heavy pot to 350°F. Fry rissois in batches of 5-6, 2-3 minutes per side, until deep golden brown. Use slotted spoon to transfer to paper towel-lined plate. Season lightly with salt while hot.
07 - Arrange rissois on serving platter. Serve warm or at room temperature with lemon wedges and aioli or cocktail sauce on side.