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Gather the ingredients.
Preheat the oven to 425 degrees F (220 degrees C).
Make the sauce: Heat oil in a skillet over medium heat. Add onion; cook and stir until translucent, 6 to 7 minutes. Stir in garlic and cook until fragrant, about 30 seconds.
Stir in capers and caper juice. Add tomatoes, olives, and jalapeño; cook and stir until tomatoes begin to collapse and jalapeño softens, about 3 minutes.
Remove from the heat and stir in oregano.
Make the snapper: Brush 1 teaspoon oil over the bottom of two small baking dishes. In each dish, add 1 tablespoon sauce, followed by a snapper fillet.
Season with cayenne pepper, salt, and black pepper. Cover with more sauce, then drizzle lime juice over top.
Bake in the preheated oven until fish flakes easily with a fork, 15 to 20 minutes.