Place the calamari rings in a large mixing bowl and cover with milk, then place in the fridge for at least 2 hours to tenderize. (Alternatively, you can marinate with lemon juice for 10 minutes, though this isn't quite as effective and can be harder to dry.)
Combine the flour, paprika, and black pepper in a bowl. Rinse the calamari in water and then dry by patting the pieces between 2 paper towels.
Place a large skillet over medium-high heat and add an inch of olive oil. Carefully dip the calamari rings in the flour mixture and fry 5-6 at a time in the olive oil. Cook for about 1-2 minutes on both sides, then remove from the pan when golden and drain on paper towels.
To prepare the aioli, combine the egg, salt, lemon juice and crushed garlic with a stick blender (immersion blender). Place the stick blender at the base of the bowl, and blend at high speed, slowly adding the olive oil. When it starts to combine into a mayonnaise, carefully and slowly pull the stick blender upwards and remove when the alioli is emulsified and thick.
To prepare the bocadillo, cut the bread roll in half, place a few rings of calamari on one side, and top with two spoonfuls of the aioli. Serve with a wedge of lemon and enjoy immediately.