Heat oven to 400°F. Rub the salmon with the oil and place on a rimmed baking sheet. Season with the cayenne and ¼ teaspoon each salt and black pepper. Top with the lemon slices and bake until opaque throughout, 8 to 12 minutes.
Meanwhile, whisk together the yogurt, vinegar, and ¼ teaspoon each salt and black pepper in a large bowl. Add the fennel, fennel fronds, and cucumber and toss to coat.
Serve the salmon with the cucumber-fennel salad and bread.
