Place the calamari rings in a large mixing bowl and cover with milk. Leave in the fridge for at least 2 hours to tenderize. (Alternatively, marinate with lemon juice for 10 minutes, though this isn't quite as effective and can be harder to dry).
In a separate bowl, combine the flour, paprika, and black pepper. Rinse the calamari in water and then dry by patting between 2 paper towels.
Place a large skillet over medium-high heat and add an inch of olive oil. Carefully take the calamari rings, dip them in the flour mixture, and fry in the olive oil 5-6 at a time. Remove from the pan when golden, about 1-2 minutes on either side.
To prepare the aioli, combine the egg, salt, lemon juice and crushed garlic in the bowl of 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 ready.
To prepare the bocadillo, cut the bread roll in half, place a few rings of calamari in there, and top with two spoonfuls of the aioli. Serve with a wedge of lemon.