Pat dry the fish fillets with paper towels. In a baking dish, mix together the EVOO, lemon zest, saffron, salt, and pepper.
Place the fillets in the seasoned oil and flip a few times to coat evenly. Set aside.
Preheat your GF contact grill to high.
Place the fillets on the grill and close the top. Grill for a maximum of 4 to 5 minutes. The fish should be opaque, but not dry, and easy to flake with a fork.
Serve with lemon or set aside to use in fish cakes.