Rinse fish thoroughly, and pat dry. Rub inside and outside of fish with oil. Sprinkle fish with salt and pepper; place onion in cavity.
Place fish in an aluminum foil-lined 13- x 9- x 2-inch baking pan. Pour Worcestershire sauce and juices over fish. Add water to pan.
Bake, uncovered, at 400° for 30 minutes or until fish flakes easily when tested with a fork. Baste fish frequently with pan drippings.
Transfer fish to a warm serving platter. Garnish with lemon slices.