In a bowl, blend together the onion, oil, lemon juice, mayonnaise, salt, pepper, and water. Place the fillets skin-side up in a baking dish, and pour the sauce over them. Refrigerate overnight.
Remove the fish from the refrigerator and turn over the fillets just before baking. Place in the oven and bake, covered, at 400°F for 35 minutes. Uncover the pan and return to the oven for 10 minutes more. A few minutes before it is finished baking, add the dill. Serve warm.