Heat the grill or a grill pan over medium-high heat. Remove the skin from the chicken and remove the bones. Slice the breast diagonally across to make 4 thin pieces. Pound the chicken lightly between 2 pieces of plastic wrap. Season the cutlets with salt and pepper, to taste, and brush them with a little oil. Grill the cutlets until cooked through, about 4 to 5 minutes per side. Remove from the pan and let cool.
Put the mayonnaise into a bowl along with the mustard, lemon zest, parsley, and fennel fronds and whisk to combine. Check the seasoning and add salt, and pepper, to taste. Cut the baguette in half lengthwise. Spread the herb mayonnaise on the bottom half. Top with the chicken, onions, and lettuce. Spread the remaining mayonnaise on the other half and put it on top. Cut the sandwich into 4 pieces and wrap well in waxed paper or plastic wrap.