MIX mayo and lemon zest until blended.
FOR each serving: Brush 1 tsp. oil evenly onto both sides of 1 fish fillet; season with 1/8 tsp. salt. Grill 5 min. on each side or until fish flakes easily with fork.
BRUSH 1 side of each of 2 bread slices with 1/2 tsp. of the remaining oil. Place, oiled side-down on grill; cook until toasted. Remove from grill. Spread untoasted sides evenly with 1 Tbsp. mayo mixture. Fill with 2 bacon slices, 1 fish fillet, 3 tomato slices and 1 lettuce leaf to make sandwich.