Prepare the mayo by placing 1 egg yolk in a mixing bowl. Very slowly stream in oil from the tin plus 1/2 cup olive oil while whisking vigorously until thick. Season with salt and pepper to taste.
Spread mayo on both sides of each slice of bread. Combine remaining mayo with mackerel fillets, 2 Tbsp shallots, 2 Tbsp parsley, and 2 Tbsp cornichons. Mix and break up the mackerel into smaller flakes.
Build each sandwich with a layer of bread, shredded cheese, mackerel mix, more shredded cheese, and top with a second slice of bread.
Cook in a pan on medium-low heat until golden brown and cheese is melted, 3-4 minutes per side.
