Heat coals or gas grill for direct heat (page 262). Remove chicken from marinade. Brush fennel and onion with marinade. Cover and grill chicken (skin sides down), fennel and onion over medium heat 20 to 25 minutes, turning once and brushing frequently with marinade, until juice of chicken is clear when thickest part is cut to bone (170°F). Discard any remaining marinade. Garnish chicken with lemon slices and oregano sprigs.