Heat grill to medium high heat. Using a chef's knife make slits in each side of the fish. Place a few slices of lemon, and a few sprigs of the oregano in each of the cavities. Brush the fish with olive oil, and season with salt and pepper. Place the fish on the grill and grill until golden brown, about 6 minutes. Carefully turn the fish over and continue to grill for 6 to 8 minutes or until just cooked through. Remove and sprinkle fish with sea salt, chopped oregano and olive oil.
For the relish: Combine the olives, feta and lemon juice in a bowl, add the olive oil and season with salt and pepper. Carefully fold the ingredients together.