Preheat the oven to 180°C. Immerse the whole snapper in a sink of cold water (this will prevent the scales from flying all over the kitchen) and remove any remaining scales. Remove any blood or dark skin from the belly cavity of the fish with scissors or a sharp knife and trim the fins. Rinse the fish and pat dry with paper towels.
To make the herb stuffing, melt the butter in a medium frying pan. Add the onion and cook until it is soft and translucent. Remove from the heat and transfer to a mixing bowl. Add the lemon rind, parsley, thyme leaves, dill and breadcrumbs and season to taste. Mix well to combine the stuffing.
Cut three slashes, each 1 cm deep, into the thickest part of the fish on both sides. Brush both sides of the fish with olive oil and season with salt and pepper. Loosely fill the cavity with the stuffing (do not overfill as the stuffing will expand during cooking, causing the flesh to split). Close the cavity and secure with wooden toothpicks.
Select a shallow ovenproof dish that is large enough to contain the fish and pour in enough olive oil to thinly cover the base. Place the fish in the prepared dish and cover tightly with two sheets of foil.
Bake the whole fish in the preheated oven for 45–50 minutes, or until the fish is cooked when tested at the thickest part – the flesh should be opaque and flake easily when tested with a fork. Serve the baked fish immediately with lemon wedges.