1.
Combine dill, lemon zest, paprika, salt, and cayenne pepper in a bowl. Rub each fillet with ½ tsp. of the olive oil, then rub with the dill mixture, coating fillets evenly.
2.
Transfer to a flat pan, cover, and marinate in refrigerator for 1 to 2 hours.
3.
Meanwhile, whisk together chives, yogurt, pickle, mayonnaise, lemon juice, capers, sugar, salt and pepper in a bowl. Cover and set sauce aside.
4.
Preheat oven to 400 degrees. Spray a large sheet pan with nonstick cooking spray. Lay fillets on pan, bake until well-browned and opaque on both sides, about 4 minutes per side, turning once.
5.
Remove to a platter. Present sauce alongside.