Start a grill or preheat broiler. Mix together all but 1/2 teaspoon garlic, some salt and pepper, half the pimenton and olive oil. Brush one side of fish steaks with this mixture (if you are broiling, brush both sides). Put on grill, sauced side down, and brush other side. Grill or broil, turning once, until done, 5 to 10 minutes.
Meanwhile, combine mayonnaise with remaining garlic and pimenton add a little lemon juice and whisk; taste and adjust seasoning. Serve fish with a dollop of aioli.