Preheat the oven to 400 degrees. Line a baking sheet with a silpat mat.
Place the flour on a shallow plate. Combine the milk and egg together in a small bowl; whisk until well combined. Place the panko on a shallow plate and add the lemon zest, fresh dill, sea salt, and freshly cracked pepper, to taste; mix together until well combined.
Cut the fish into strips. Coat each piece of the fish in the flour then dip into the egg mixture followed by the panko crumbs. Place the coated fish on the baking sheet. Repeat with the remaining fish. Spray all the fish with a bit of olive oil cooking spray.
Place into the oven and bake for 10 minutes or until the fish is cooked through and flakey. Turn the oven to broil then cook, watching very carefully so they don't burn, for a few minutes to get golden brown on top. Serve with the cucumber dill sauce on the side, if desired, along with lemon wedges. Enjoy.