In a blender, puree the oil, onion, garlic, dill, lemon juice, zest and oregano. In a baking dish, pour the marinade over the lamb and turn to coat. Refrigerate for at least 4 hours. Remove from the refrigerator 1 hour before cooking. Light a grill. Scrape off the marinade and season the lamb with salt and pepper. Grill over moderate heat for 28 minutes, turning once, until medium-rare. Transfer to a surface and let rest for 10 minutes. Slice the lamb against the grain and serve.