Preheat the oven to 425 degrees F. Line a baking sheet with parchment paper. Brush the paper with the oil. Place the breadcrumbs and zest on a sided plate. Season the snapper with salt and pepper. Coat a piece of the snapper with the crumbs, pressing them on the fish to help them adhere (you just want to lightly coat the fish). Set the snapper on the baking sheet. Repeat with the remaining fish. Bake for 7 minutes. Turn each piece of fish over and cook 3 minutes more. Top each piece of fish with a slice of cheese and two 1/2 slices of bacon. Bake 2 minutes more, or until the cheese is melted and the fish cooked through. Spread the buns with mayonnaise. Set a lettuce leaf on the bottom buns. Set on the fish, tomatoes and pickles and serve.