Heat the oil in a skillet over medium low heat. Saute the onions with salt and pepper until soft but not brown, about 5 minutes. Add the fennel and cook 3 to 5 minutes more. Set aside to cool.
Transfer the onion mixture to a bowl. Add the remaining ingredients and mix well. The relish can be refrigerated overnight.
Heat a grill. Brush fillets with olive oil and sprinkle with salt and pepper. Grill until cooked through, 3 to 4 minutes per side.
To serve, place fish on a serving platter or individual plates and top with relish.
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