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.
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