In an oven-safe, casserole dish, layer the orange, lemon, jalapeno, shallots, and 5 or 6 good-sized dill sprigs and sprinkle with a bit of salt and a drizzle of olive oil.
Place skinless salmon fillets on top of the other ingredients.
Drizzle with olive oil then salt and pepper. Then place a few more citrus slices, jalapeno, shallot or onion, and dill on top of the salmon.
Place in oven for 45 minutes, then check doneness with a knife or fork to ensure that the salmon flakes easily. (depends on the thickness of the fillet). Also check the interior temperature of the salmon. It should register between 110°F to 120°F.
Remove and place salmon on a serving platter with some of the orange, lemon, shallots and jalapeno. Discard the dill.