Preheat and Prep: Preheat your oven to 400°F (200°C). Lightly grease a 9x13-inch ceramic baking dish with a small drop of olive oil. Thoroughly pat the cod fillets completely dry on all sides using paper towels.
Season and Sear: Season both sides of the dry fillets evenly with salt, cracked black pepper, and paprika. Heat 1 tablespoon of olive oil in a large skillet over medium-high heat. Sear the cod for exactly 2 minutes on one side until a light golden crust forms, then carefully transfer them seared-side-up into your prepared baking dish.
Whisk the Sauce: In a medium mixing bowl, whisk together the full-fat coconut milk, melted butter, minced garlic, lemon juice, and exactly half of the lemon zest until smooth and silky. Stir in the Italian seasoning and optional grated Parmesan cheese.
Bake: Pour the prepared citrus sauce evenly around the cod fillets in the baking dish. Tuck your fresh lemon slices into the sauce between the pieces of fish. Bake uncovered on the center rack for 12–15 minutes until the fish turns opaque and flakes easily with a fork.
Garnish and Serve: Remove the dish from the oven and spoon the warm, rich sauce over the tops of the fillets. Shower the finished dish with the remaining lemon zest and a heavy dusting of freshly chopped parsley. Serve immediately!