In a small bowl, toss together feta, onion, olives, dill and oregano. Set aside.
Trim off stems and tough section of rib from leafy greens by running tip of sharp paring knife along either side of the toughest part of the rib, cut out and discard. The leaves need to be soft enough to fold over. Set aside.
Lay four 12 x 12-in. (30 x 30-cm) sheets of foil on work surface. In centre of each sheet of foil, slightly overlap 2 leaves. Place 1 fish fillet in centre. Season fish with sea salt and pepper to taste. Divide feta mixture evenly on top of each fish fillet, place 2 lemon slices on top and drizzle each with 1 teaspoon olive oil.
Fold ends of leaves over top of fish and toppings (do not fold foil at this point). Wrap foil around bundles and close up tightly. Place packets on grill preheated to medium. Close lid and cook 5 min., turn over and cook another 10 min., until a meat thermometer reads 140°F to 150°F (60°C to 65°C). Serve packets with tzatziki and grilled pita bread.
Can also bake packets in oven at 450°F (230°C) for 15 min., or until fish is cooked through