Heat a gas or charcoal grill over medium heat.

To clarify the butter, place the pieces of butter in a saucepan over medium-low heat. Using a large spoon, skim off all of the milk solids that rise to the top as the butter melts. Once all of the solids have been removed, strain the butter through a fine sieve lined with cheesecloth into a small bowl. Stir in the lemon zest and tarragon. Set aside. 

Brush the cut side of the lobster tails with grapeseed oil, and season with salt and pepper to taste.

Place on the grill, cut side down, and grill for 5 to 7 minutes or until the lobster has defined grill marks. Flip, brush with some of the tarragon butter, and continue to cook for an additional 4 to 5 minutes. When done the meat should be white and firm, and read 135º on a meat thermometer. Set aside to cool a bit.

Remove the tail meat from the shell, and cut into 1/2-inch pieces. Place in a bowl.

Mix the lobster meat with the mayonnaise, celery, parsley and lemon juice. Season with salt and pepper to taste.

Remove the tail meat from the shell, and cut into 1/2-inch pieces. Place in a bowl.

If possible, top split the bolillo roll and remove a bit of the crumb, so you can stuff the lobster filling inside. Otherwise, cut the roll in half about 3/4 of the way through.

Generously brush the inside of the rolls with the lemon-tarragon butter.

Fill the rolls with the lobster mixture. Drizzle with the remaining lemon-tarragon butter, and serve.