En papillote is a French term meaning "in paper." It's a cooking method in which food is placed inside a packet of parchment paper and cooked in its own juices.
Heat oven to 400 degrees. Place two baking sheets in oven. Combine capers, peppercorns, dill seed, and lemon juice in a small bowl. Set aside.
Fold four 24-inch pieces of parchment piece in half crosswise, cut each into a half-heart shape, and open. Divide fennel evenly among the parchments, forming a bed on one side of the heart. Sprinkle each serving with a tablespoon of caper mixture, and season with salt. Place a snapper fillet on each bed of fennel; season with salt, and top each packet with remaining caper mixture and 2 lemon slices. Fold parchment over the ingredients, making small overlapping folds along the edge to seal.
Using a large spatula, place packets on heated baking sheets. Bake until the packets have puffed and the fish is cooked, 15 to 18 minutes. Transfer packets to individual plates. Serve immediately.