Preheat the oven to 190°C.
Segment the oranges into a bowl, then finely chop the flesh. Cut 4 square sheets of nonstick baking paper, roughly 10 inch squared.
Sit the fish in the middle of the sheets of nonstick baking paper. Rub them all over with the olive oil, then pack the courgette and orange flesh neatly on top. Sprinkle over a little salt and some red peppercorns. Drizzle over the lemon juice.
Bring the edges of the paper up and around the mixture, creating a pocket. Seal the tops well by pinching the greaseproof paper together and folding over to make a seam. Place on baking trays and bake for 8-10 minutes until the fish is just cooked.
Remove from the oven and open the pockets carefully as the trapped steam will escape quickly. Allow them to cool for a minute before transferring the fish onto serving plates.