Rinse fish and pat dry; measure thickness of fish. Trim ends from onion and cut into 4 slices. Brush both sides of fish and onion with a mixture of white wine Worcestershire, 2 tablespoons olive oil, lemon peel, and 1/4 teaspoon pepper. Grill directly over medium coals for 4 to 6 minutes per 1/2-inch thickness, turning once.
In the meantime, prepare the lentils. Place the lentils in a medium saucepan with the broth and shallots. Bring to a boil; reduce heat. Cover and simmer until the lentils are tender, 20 to 25 minutes. Drain in a colander, and place in a large bowl. Stir in carrots.
In a separate bowl, whisk together the 2 tablespoons olive oil, vinegar and 1/8 teaspoon pepper. Add to the lentils and toss to combine. Serve lentils with fish. Makes 4 servings.