Combine first 5 ingredients and 1/4 teaspoon salt in a large zip-top plastic bag; add fish. Seal and marinate in refrigerator 1 hour, turning occasionally.
Spoon yogurt onto several layers of heavy-duty paper towels; spread to 1/2-inch thickness. Cover with additional paper towels; let stand 5 minutes. Scrape into a bowl using a rubber spatula. Add 1/4 teaspoon salt, shredded fennel bulb, chopped fennel fronds, and garlic. Cover and refrigerate.
Remove fish from bag; discard marinade. Place fish on a broiler pan coated with cooking spray. Broil 8 minutes or until fish flakes easily when tested with a fork. Serve with yogurt sauce.