Cut fillets crosswise into strips 2-inches wide. Rub fish with mixture of lemon juice and oil, cover and refrigerate for 1 hour.
Preheat oven to 350 degrees.
In medium frying pan, over medium high heat, fry onion in oil until edges are nicely browned. Add garlic, ginger, and green chile, and stir over medium heat for 2 minutes. Add tomatoes, spice mixture, fennel seeds, and salt, and fry, stirring constantly until tomato pieces break down to form a lumpy paste. Add coconut milk and simmer about 5 minutes until a thick, rich sauce is formed.
Arrange fish in an oiled baking/serving dish large enough to hold fish in a single layer. Bake, uncovered, for 10 minutes in the preheated oven. Pour sauce over fish, cover tightly with aluminum foil, and return to oven for 15 to 20 minutes until fish is opaque.
Garnish with chopped cilantro.