Combine the buttermilk and hot sauce in a 13 by 9-inch casserole dish. Add catfish fillets and cover with plastic wrap and refrigerate for 1 hour. After 1 hour, remove the catfish from the refrigerator and pat dry with paper towels.
Set up your grill for indirect heat at a medium-low temperature, about 275 degrees F.
Mix together the oregano, lemon peel and salt, pepper, in a small bowl. Lightly coat the fish with olive oil and sprinkle the seasoning evenly over the catfish fillets.
Put the catfish on the grill away from the hot coals. Smoke the catfish until it is fully cooked through and golden brown, about for 45 minutes. Remove the fish from the grill to a serving platter and serve with the Orange Dill Cream Sauce.
Gina's Creamy Orange Dill Sauce:
Add all the ingredients to a serving bowl and serve with the smoked catfish.