Prepare grill to medium-high heat.
Heat 1 teaspoon oil in a nonstick skillet over medium heat. Add onion and fennel bulb, and cook 3 minutes, stirring constantly. Set aside.
Score skin of fish with 3 diagonal cuts. Combine fennel seeds, rind, salt, and pepper. Rub each fish with 1 1/2 teaspoons oil and half of fennel seed mixture. Stuff half of onion mixture and 4 lemon slices into each fish cavity.
Place fish on grill rack coated with cooking spray, and grill 8 minutes. Carefully roll fish over; grill 8 minutes or until fish flakes easily when tested with a fork.
Garnish with fennel fronds, if desired.