Place the snapper fillets in a shallow glass baking dish and top with the lemon juice and pepper.
Heat the oil in a large nonstick frying pan over medium heat. Add the scallion and garlic and sauté, stirring frequently, for 2 minutes. Add the drained tomatoes, olives, capers, anchovies, basil, oregano and bay leaf. Bring to a boil, reduce the heat to low and simmer for 5 minutes.
Pour the sauce over the fillets and top with the chopped or dried parsley. Cover with aluminum foil and bake until the fish just separates when pressed with a fork, about 30 minutes. Remove and discard the bay leaf.
To serve, divide among 4 individual plates. Top each with a lemon wedge and a parsley sprig.