Preheat oven to 400 degrees. The fillets should be between 1/2" and 3/4" thick. Sprinkle the fillets with salt and pepper and place in a baking dish (3 qt.). Pour the water and wine around the fillets. Bake uncovered for 10 minutes. Remove the fish to a well buttered baking dish large enough to hold the fish in a single layer. Reserve about 1/4 cup of the pan juices. Melt butter in a skillet and quickly saute the onion. Stir in the flour and cook over medium heat until golden stir frequently. Whisk in the milk, oregano and the reserved pan juices. Cook until the sauce is thick. Season to taste with salt.
Prepare the Bread Crumbs Oregano: Crumble the bread and saute in the butter until crisp. Toss with the oregano.
Pour the sauce over the fish and sprinkle with cheese and cayenne. Sprinkle the Bread Crumbs Oregano on top of the sauce. Bake until the sauce is bubbling (10 to 15 minutes). Serve hot. Garnish with lemon wedges. Serve with rice pilaf, french bread and a dry white wine.