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Preheat the oven to 400°F. Line a small baking sheet with parchment paper.
Place flour in a small shallow bowl. In another shallow bowl, beat egg with 1 tablespoon water until smooth. In a third bowl, stir together panko, Cajun seasoning and salt. One at a time, roll oysters in flour, dip in egg and then coat in panko. Place on the prepared baking sheet. Lightly coat oysters with cooking spray. Bake until browned and crispy, about 12 minutes.
Meanwhile, in a small bowl, stir together yogurt, mayonnaise and capers. Split Italian loaf lengthwise and pull out and discard soft bread in center. Place bread, cut-side up, under broiler until browned and toasted, about 2 minutes. Spread bottom half of loaf with half of the yogurt mixture. Top with oysters, arugula, cabbage and tomato. Drizzle with remaining yogurt mixture, close sandwich and cut into 4 pieces. Serve immediately.