Heat 1 tablespoon olive oil in a large frypan over medium-high heat. Cook onion and red capsicum in the oil until onion is tender and golden and capsicums are slightly soft; about 10 minutes. Stir balsamic vinegar into the vegetables; season with salt and pepper.
Rub fish fillets with 2 teaspoons olive oil and a sprinkle of salt and pepper. Place fillets in a small baking dish and top with the balsamic onion mixture. Sprinkle fish evenly with blue cheese.
Bake in preheated oven until fish flakes easily. Serve on top of salad greens.