Zest and juice both the lemon and the orange. Mix together two zests, then remove 1 teaspoon of the combined zest and set aside. In a small bowl whisk together the olive oil, and the citrus juices and the remaining zest. Season the marinade with salt and pepper. Place the salmon fillets in a baking pan, and pour the marinade over the fish turning to coat evenly. Marinate in the refrigerator for 1 hour.
Meanwhile, combine the mayonnaise and the reserved teaspoon of zest, and season with salt and pepper. Set aside.
Preheat the broiler. Transfer the salmon to an oiled rimmed baking sheet, separating the pieces. Discard the marinade.
Broil the salmon for 8 to 10 minutes until it is just cooked through (the fish will continue to cook a bit after it is removed from the oven, so take it out just before it’s done to your liking), and remove from the oven. Transfer to individual plates, and top each piece with a spoonful of the sauce.