Clean the fish of their insides. Wash and salt them well. Leave them for 30 min. to take in the salt.
Rinse them and arrange in a suitable oven dish, laid out with baking paper. Sprinkle with olive oil. Smear them on all sides with mayonnaise. Cut the lemon into slices and fill the fishes' bellies.
Bake in a preheated oven.
Make a sauce by putting the capers in a suitable dish for beating, then add 3 tbsp olive oil and 2 tbsp water.
Beat with a hand blender until smooth. Serve the fish with the caper sauce.