Grilled Chicken Caesar Sandwiches

Name: Grilled Chicken Caesar Sandwiches
Ingredients: 1 Tbsp. Dijon mustard; 2 tsp. Worcestershire sauce; 2 garlic cloves, finely grated; 2 Tbsp. plus 2 tsp. fresh lemon juice; 2 tsp. freshly ground black pepper, plus more; 1/3 cup plus 2 tsp. extra-virgin olive oil; plus more for grill; 6 Tbsp. mayonnaise; 1/4 cup chopped cornichons (about 9); Kosher salt; 4 large skinless, boneless chicken thighs (about 1 1/2 lb. total); 4 brioche buns, split; 1 medium fennel bulb, halved, thinly sliced, fronds coarsely chopped; 1 cup basil leaves, torn if large