Heat a charcoal or gas grill to high.
Brush the halibut fillets on both sides with the canola oil and sprinkle with salt and pepper. Grill, covered, until golden brown on the bottom, about 2 minutes. Flip and cook, covered, until the fish is firm and just cooked through, another 2 minutes. Transfer to a platter.
While the fish cooks, combine 2 tablespoons of the butter and the shallot in a medium skillet over medium heat. Cook, stirring, until the shallot softens, about 3 minutes. Add the remaining butter and cook, swirling the pan, until the butter is nut brown. Add the orange and lemon juice and zest, as well as the thyme, 1/4 teaspoon black pepper and salt to taste. Drizzle the brown butter over the fish. Sprinkle orange and lemon zest and thyme sprigs over the top. Serve immediately.