1. Combine oil, garlic, anchovy fillets, and 1/4 teaspoon pepper in a small saucepan over low heat. Cook for 5 minutes or until garlic begins to sizzle; remove from heat. Set aside.
2. Heat a grill pan over high heat. Lightly coat tuna with cooking spray. Sprinkle with salt and remaining 1/4 teaspoon pepper. Add to pan; cook 2 minutes on each side or until desired degree of doneness. Remove from pan.
3. Combine 1 teaspoon oil mixture and Broccolini; toss. Add to pan; cook 6 minutes or until tender, turning occasionally. Place 1 tuna steak and 4 ounces Broccolini on each of 4 plates. Drizzle each serving with about 1 1/2 tablespoons oil mixture. Serve with lemon wedges.