Cut the orange and lemon in half. Juice one half of orange and one half of lemon. Slice the remaining half of each fruit.
Heat oil in a large skillet over medium heat. Season the fish with salt and pepper. Add fish to skillet. Turn fish over after edges begin to cook.
In a small bowl, stir together cooking wine, juice from half of the orange, juice from half of the lemon, slices from half of the orange and half of the lemon, capers, and butter. Add a little more salt and pepper for taste, if desired.
Pour fruit juice/butter mixture into the frying pan with the fish and heat. When liquid begins to boil, reduce heat to medium-low; cover, and continue cooking until the fish is thoroughly cooked, about 1-2 minutes depending on thickness of the fillet. Serve immediately.