Preheat a grill to medium heat. Spray a piece of heavy duty aluminum foil or a doubled-up piece of regular aluminum foil with non-stick cooking spray. Lay salmon fillet out on foil and season with salt and pepper.
In a mixing bowl, combine mayo, dill and horseradish. Spread mixture over salmon fillet evenly with a rubber spatula. Shingle cucumber slices on top of mayo mixture. Transfer aluminum foil with salmon onto preheated grill and close lid. Cook for 15-20 minutes. Let salmon cool for a few minutes before slicing.