There is a market on the Marigot waterfront and I believe the fish is available on Wed. & Sat. but you need to get there EARLY.

Simpson Bay has something of a fish market across from the police station near the drawbridge. Honestly, I have never seen much there and they don't seem to do a lot of business.

Not sure about getting your fish filleted. You could ask but a lot of local fish is served whole.

Skipjacks in Simpson Bay is another option.