Lightly butter 1 sheet of filo dough. Lay another sheet directly on top of the first sheet and lightly butter it. Repeat with remaining 2 sheets of filo. Cut sheets in half.
Season fish fillets with salt and pepper. Place a fillet near the bottom edge of one of the halved sheets of filo. Sprinkle with dill. Fold in the sides of the filo, then roll the fillet. Place on a baking tray and lightly brush with butter. Repeat with remaining fillet.
Bake in a preheated oven until pastry is puffed and golden brown, about 12 to 15 minutes.
Meanwhile, bring lemon juice to a boil in a small saucepan over high heat. Boil until almost evaporated. Reduce heat to medium and stir in cream. Simmer until the cream thickens somewhat. Stir in spring onions and season with salt and pepper. Serve fish on a pool of sauce.