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If marinating the shrimp first (see note), toss shrimp with 1 tablespoon (12g) salt and the baking soda in a medium bowl until evenly coated. Refrigerate for 15 to 30 minutes. If not marinating, proceed to step 2.
Prepare an ice bath. Add shrimp to a medium saucepan of cold water (no need to rinse if you marinated the shrimp with baking soda). Set over medium-high heat and cook, stirring occasionally, until temperature reaches 170°F (77°C) on an instant-read thermometer and shrimp are just cooked through; adjust heat to make sure temperature does not go over 170°F.
Drain shrimp and add to ice bath to chill. Remove from ice bath, then cut shrimp into chunks. Transfer to a medium bowl and add mayonnaise, celery, and chives, stirring well to coat. Season with lemon juice, salt, and pepper to taste. Shrimp filling can be refrigerated until ready to serve.
Melt 1 tablespoon (15g) butter in a large, heavy-bottomed skillet over medium-low heat. Swirl to coat pan. Add buns with one cut side down. Cook, pressing on buns gently and moving them around the pan, until golden brown on first side. Remove from pan, add remaining 1 tablespoon butter, then repeat on second side of buns. Divide shrimp filling evenly among buns and serve immediately.