In a small bowl mix together the mayonnaise, lemon juice and Old Bay seasoning. Pour the mayo mixture over the lobster. Add the chopped celery leaves. Toss lightly to combine. Refrigerate if not using right away.
To make the lobster roll, lightly butter the sides of the hot dog buns. Lightly toast the buns. I used my grill to get those nice grill marks. Place lettuce in the bun and top with the lobster. Serve immediately.