Preheat oven to 230°C. Spray large baking sheet with non-stick cooking spray; set aside.
In small bowl, combine mayonnaise, lemon zest, lemon juice and pepper. Place fillets, skin side down, on prepared baking sheet. Spread mayonnaise mixture over fish.
Process walnuts and parmesan in food processor until finely ground (but not pasty). Sprinkle nut mixture over fish, patting it on. Bake for 15 minutes or until nuts are lightly browned and fish is just cooked through or just flakes when tested with a fork.
You had me at mayonnaise. The fish stayed nice and moist and the walnuts and parmesan were very flavorful. The lemon added a nice flavor as well. We served it with garlic roasted brussel sprouts and grilled corn on the cob. I salivate writing about it. - 15 Aug 2016