Slice onions into semicircles. Put onions in a frypan with a drizzle of olive oil and fry gently until soft and brown, about 10 minutes. Season with marjoram and a little salt and set aside.
Cut the lemons into slices and place them in a single layer in the frypan, cooking them on high until lightly browned on both sides, about three minutes. Add the star anise and water, bring to the boil and remove from the heat.
In a baking tin large enough to fit the whole fillet, lay down sheets of foil with enough overlap to wrap the fillet up like a parcel. Add the onions in a layer and then place the salmon fillet, skin side down, on top of the onions. Rub the fillet with salt and pepper.
Next, lay the lemon slices and star anise evenly spaced over the top of the fillet. Fold up the edges of the foil over the fillet to make a parcel, making sure to seal the edges well.
Bake the parcel for 35-40 minutes. Remove from the oven, open foil and serve!