Heat 2 teaspoons oil in a large frying pan over medium-high heat.
Cook haloumi, in batches, for 2 minutes each side or until golden. Transfer the haloumi to a plate.
Heat remaining oil in pan. Add chilli and capers. Cook, stirring, for 3 to 5 minutes or until capers are heated through and chilli is golden. Add rind. Cook, stirring, for 1 minute. Stir in juice. Bring to a simmer.
Arrange haloumi and lettuce on a serving plate.
Drizzle with hot lemon mixture. Season with pepper. Serve immediately.