1Heat gas or charcoal grill. In small bowl, stir mayonnaise, onions, relish, capers, lemon juice and Worcestershire sauce with whisk until well blended. Cover; refrigerate until serving time.
2Brush fillets with 2 teaspoons of the oil; sprinkle with salt and pepper. Carefully brush remaining oil on grill rack. Place fillets on grill over medium heat. Cover grill; cook 6 to 8 minutes, turning once, until fish flakes easily with fork.
3On each bun bottom, place lettuce and fish. Spoon mayonnaise mixture evenly over fish. Cover with bun tops.