Thaw fish, if frozen. Rinse fish; pat dry with paper towels. In a small bowl, combine oil, lemon peel, lemon juice, and pepper. Brush fish with lemon mixture.
In a covered large skillet, cook asparagus in a small amount of boiling water for 3 minutes; drain. Place asparagus in a grill wok.
For a charcoal grill, place fish on the greased rack of an uncovered grill directly over medium coals. Grill for 8 to 12 minutes or until fish flakes easily when tested with a fork, turning once halfway through grilling. Add asparagus to the grill during the last 3 to 5 minutes of grilling or until asparagus is tender and starting to brown, turning once halfway through grilling. (For gas grill, preheat grill. Reduce heat to medium. Place fish, then asparagus on grill rack over heat. Cover and grill as above.)
In a large bowl, combine romaine lettuce, endive, and cucumber. Divide lettuce mixture among dinner plates. Using a fork, flake fish into bite-size pieces. Arrange fish and asparagus on top of lettuce mixture. Drizzle salads with Caesar dressing. If desired, sprinkle with Parmesan cheese and serve with toasted baguette slices.