Drain the pickle juice from the chicken. Add the chicken pieces to the egg mixture then dip into the flour mixture (you can do this individually or all at once if your bowl is large enough). Repeat until all nuggets are coated.
Cut open each yeast roll, leaving the backside attached. Brush the inside of each roll with the melted butter. Add a piece of chicken and drizzle with the bang bang sauce. Serve on a platter and garnish with sliced scallions.