Preheat oven to 400°F. Melt butter in a small saucepan with garlic; let cool slightly, then purée in a food processor. Remove some of the bread from inside rolls. Place rolls on a baking sheet, cut sides up.
Whisk together whole-wheat flour, powdered milk, cayenne, salt, and herbs in a bowl; season with pepper. Dredge oysters in mixture, coating completely; shake off excess.
Heat 1 inch oil in a large skillet over medium-high. Meanwhile, spread 2 teaspoons garlic butter over each split roll. Bake until golden brown, about 5 minutes.
Fry oysters in batches until golden brown, 30 to 45 seconds per side. Using a mesh skimmer or slotted spoon, transfer oysters to paper towels and let drain.
Layer rolls with oysters, lettuce, and anchovies. Serve with lemon wedges.