Prepare grill. To prevent the fish from sticking, rub a paper towel moistened with vegetable oil over the grill rack.
Blot the fillets on both sides with paper towels. Season with kosher salt and pepper, and brush with olive oil. Arrange fillets on the grill rack, about 6 inches from the heat source; grill 4 minutes over medium-high heat. With a metal spatula, turn the fish; grill 4 more minutes or until it flakes easily when tested with a fork.
Spread the insides of the rolls with the dill mixture. Place a fillet inside each one; sprinkle the shredded lettuce on top, and serve.