Use a paper towel to pat dry the salmon filets. Season with sea salt, dill, and paprika.
Heat the avocado oil in a large cast iron skillet or non-stick skillet over medium-high heat until hot. Place salmon fillets flesh side down, pressing them lightly so the entire surface of the flesh comes into contact with the pan. Sear, undisturbed, for 3-4 minutes until crispy and golden.
Flip salmon and sear on the other side for 2 to 3 minutes. Flip the salmon again and cook another 1 to 2 minutes.
Add the remaining ingredients to the skillet (coconut milk, lemon zest and juice, capers and dill. Cook until salmon reaches desired done-ness and sauce thickens, about 3 to 4 minutes. Taste the sauce for flavor and add sea salt and/or more lemon juice to taste.
The FDA considered salmon to be fully cooked when it reaches an internal temperature of 145 degrees Fahrenheit. Many people find they like salmon best when it is medium-rare on the inside, which is around 120 to 125 degrees F. Use a meat thermometer to check the internal temperature of the salmon to be sure the salmon cooks to your desired level of doneness.