Combine the marinade ingredients in a bowl with the fish fillets. Cover and refrigerate for at least 30 minutes.
Heat the olive oil in a large skillet and saute the fennel for 5 minutes until softened. Add the white wine, lemon juice, and zest, salt and pepper and simmer, stirring occasionally, for 10 minutes or until the fennel is tender and the sauce has thickened.
Cook the fish fillets on an oiled cast-iron grill over medium heat, for about 5 to 7 minutes each side, depending on the thickness of the fillets, or until cooked. Baste with the remaining marinade ingredients while cooking.
To serve, transfer the fennel to a platter, place the fish fillets on top, spoon any remaining sauce from the pan over the fish fillets and serve immediately.