Saute onion and green pepper in oil in a heavy saucepan till tender. Stir in tomato sauce, brown sugar, lemon juice and Worcestershire sauce. Bring to a boil; cover, reduce heat, and simmer 15 min., stirring occasionally.
Place fish fillets in a greased 12 x 7 x 2 in baking dish. Sprinkle with salt and pepper. Spoon sauce on top and bake, uncovered, at 350 degrees for 10-15 min., or till fish flakes easily with a fork.