Combine all of the ingredients in a small bowl. Cover and chill until needed.
For the mayonnaise:
Combine the saffron threads and lemon juice in a small bowl and set aside to soak for 20 minutes to l hour.
Transfer the soaked saffron to a blender. Add the mayonnaise and blend until smooth. Transfer to a bowl and season with salt and pepper, to taste. Cover with plastic wrap and chill until serving time.
For the patties:
Spread the red snapper and shrimp evenly over the bottom of a large glass baking dish. Wearing kitchen gloves, or using a fork, gently mix in the egg whites, thyme, salt and pepper; combine together well. Mix in enough panko to bind the ingredients together and form into 6 equal patties to fit the slices of bread. Cover with plastic wrap and chill until needed, at least 30 minutes.
Prepare a medium-hot fire in a charcoal grill with a cover, or preheat a gas grill to medium-high.
When the grill is ready, generously brush the grill rack with canola oil. Lightly brush both sides of each slice of bread with olive oil. Place the bread slices on the outer edges of the grill rack to toast lightly, turning once with tongs; set aside. Place the patties on the
middle of the grill rack, cover, and cook for 3 1/2 to 4 minutes, turning once with a large spatula, until the patties are just cooked through; do not overcook.
To assemble the burgers, spread about l tablespoon of the mayonnaise evenly over 1 side of each toast. Place a patty on 6 of the mayonnaise-coated toasts. Using a slotted spoon, evenly top each patty with the tomato-fennel relish. Add the toast tops, mayonnaise side down.
This recipe was created by a contestant during a cooking competition. It has not been tested for home use.