Preheat the oven to 375°F with a rack in the center position.
Fold 4 (18-inch-long) pieces of parchment paper in half. Using scissors, round the corners to make ovals. Open the parchments and place them on a large rimmed baking sheet.
To one side of each parchment, arrange ¼ of the zucchini in an even layer, then top with ¼ of the fennel. Place the salmon on top, season all over with the salt, pepper, and dill, then top each with the lemon slices and drizzle each with 1 tablespoon of the olive oil.
Close the parchment by refolding it over the prepared salmon and carefully roll the edges toward the center to seal.
Bake until the salmon easily flakes with a fork and the vegetables are tender, about 12-15 minutes.
Transfer the pouches to individual plates. Using a fork, unroll the edges of the parchment, then carefully open the pouches to release the steam and expose the contents. Garnish with fennel fronds. Serve immediately.