Put the chiles in a bowl, cover with boiling water and soak until pliable, about 15 minutes. Reserve 1 tablespoon of the soaking liquid, then drain the chiles.
Meanwhile, heat the vegetable oil in a medium skillet over medium heat. Add the onion, garlic, oregano and cumin and cook until the onion is soft but not browned, about 5 minutes. Transfer to a blender along with the reserved chile soaking liquid, the chiles, orange juice, lime juice and 1 1/2 teaspoons salt; blend until smooth.
Unfold the banana leaves and cut into six 12-inch-long pieces; rinse and pat dry. Place a banana leaf shiny-side down on a work surface. Coat the fish generously with the pureed chile mixture. Place 1 mahi mahi fillet in the center of the leaf and top with a slice each of orange and lime. Fold 2 opposite ends of the leaf over the fish, overlapping them to tightly enclose the fish, then tuck the open ends underneath. Transfer to a large roasting pan or baking dish. Repeat to make 5 more banana leaf-wrapped fillets, then transfer the pan to the refrigerator and let the fish marinate 1 to 3 hours.
Preheat the oven to 400 degrees F. Remove the pan from the refrigerator and cover tightly with foil. Bake until the fish is just cooked through, opening a packet to check for doneness, about 35 minutes. Transfer to plates and carefully unwrap just before eating.
Photograph by Con Poulos