For the flour: In a bowl combine the flour, chili powder, dry thyme, salt and pepper and mix to disperse the seasoning throughout the flour.
For the egg wash: In a bowl combine the buttermilk and eggs, and whisk to combine.
For the sauce: In a bowl combine the mayo, capers and lemon juice, and mix. Season with salt and pepper, being very careful with the salt as the capers are already salty.
For the sandwich: Preheat enough oil to come 2 to 3 inches up the side of a medium saucepot over medium-high heat, until a deep-frying thermometer inserted into the oil reaches 350 degrees F.
Dredge the fish in the egg wash then in the seasoned flour. Dip in the egg wash again and the flour again. Carefully float the fish in the hot oil and cook until golden brown. Remove from the oil and rest the fish on paper towels to drain excess oil.
Set a skillet or saute pan over medium-high heat, and heat the grapeseed oil (you may have to do this in batches so portion out the oil for how many batches it will take to toast all of the buns). Toast the buns until golden brown.
Spread 1 tablespoon of the caper sauce on both sides of the toasted buns and 1 tablespoon of the ketchup on the top half of each bun.
Season the tomato slices with salt and pepper and arrange 2 slices on the bottom halves of each bun. Place some shredded lettuce on top of the tomatoes. Place 3 to 4 onion rings on top of the lettuce. Cut the fish in half and stack the 2 pieces of fish on top of each bun and top with the top half of the bun. Serve each sandwich with a lemon wedge.