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Heat the oven to 375°F (190°C) and set an oven rack in the center. Line a baking sheet with parchment paper.
Slice each fish fillet into 6 to 8 fish sticks. Add the fish sticks to a mixing bowl. Add the oil, paprika, onion powder, granulated garlic, cayenne, a hefty pinch of salt and freshly cracked black pepper. Mix until the fish is evenly coated.
Open the phyllo pastry and unroll the pastry. Work with one phyllo pastry sheet at a time, while rolling the rest of the pastry back to prevent it from drying out.
Make the phyllo fish sticks: Place a phyllo pastry sheet on your work surface. Drizzle the sheet with a little bit of oil (1 to 2 teaspoons) and evenly brush the oil all over its surface. Crinkle the pastry from one end to the other, then flip it oiled-side down. Place one fish stick on the crinkled pastry and tightly roll it from one end to the other. Repeat with the remaining fish and pastry.
Place the fish sticks on the baking sheet. Lightly brush with more oil on top. Bake for 22 to 25 minutes, until the pastry reached a golden brown color and is brittle and crispy to the touch.
Make the dill pickle sauce: In a bowl, combine the pickles, pickle brine, dill, garlic, yogurt, a pinch of salt and pepper. Add 2 tablespoons of water for a thinner consistency.
Serve the crunchy phyllo fish sticks warm with sauce on the side.