Heat the oven to 425°F. Beat egg with water and mix crushed cornflakes with salt and paprika in a separate shallow bowl. Dip chicken in egg and press into crumbs.
Arrange on a baking sheet coated with the oil and bake for 16 to 20 minutes, turning once, until the chicken reaches 165°F.
Mix honey, hot sauce and cayenne and brush over the cooked chicken. Lower the oven to 350°F and split the connected Hawaiian rolls horizontally.
Place the bottom slab in a parchment-lined 9-by-13-inch pan. Add cheese, chicken and dry pickles, then replace the top slab and brush with butter.
Cover with foil and bake for 15 minutes, then uncover for 8 to 10 minutes until the center reaches 165°F.
Rest for 5 minutes and cut into 12 sliders.