1. Preheat oven to 400 degrees Fahrenheit (200 degrees Celsius).
2. Heat oil in a heavy saucepan. Add onions and sauté until caramelized. Add sugar and stir to combine. Add lemon and orange slices and bring to a simmer, stirring to break up the fruit and release juices. Cook for five to seven minutes until the fruit softens. Remove from heat.
3. Place salmon into a baking pan or a foil grill pan. Sprinkle salmon generously with salt and pepper to taste. Spread the citrus sauce over the salmon, covering the top completely. Bake for 20 minutes.
4. Raise oven heat to broil and broil for an additional two to three minutes, to crisp the coating. Serve warm or cold.