Heat the oil for the sauce in a pot over medium heat. Add the onion, peppers, garlic and ginger and cook 3 to 4 minutes. Add all remaining sauce ingredients, except cornstarch mixture, and gently simmer 5 minutes.
While this occurs, preheat a non-stick or lightly oiled grill to medium to medium-high. Combine the oil for the fish with ginger and lime zest. Brush on the mahi mahi; season with salt and pepper.
Thicken the sauce with the cornstarch mixture and then reserve on low heat. Grill the fish 3-4 minutes per side, or until just cooked through. Place the fish on plates, spoon some of the sauce over top and serve. Serve the remaining sauce tableside.