Preheat the oven to 400°F.
Prepare the salmon: Chop the dill finely and place the salmon fillets on a lined baking sheet. Drizzle 1 tablespoon of olive oil over them. Season with salt and pepper. Zest one lemon over the fillets, then cut the lemon in half and squeeze juice from one half over the salmon. Sprinkle some of the chopped dill over the fillets and gently rub to distribute evenly.
Prepare the asparagus: Place the trimmed asparagus on the other side of the baking sheet. Drizzle with the remaining tablespoon of olive oil, season with ½ teaspoon salt and ⅛ teaspoon black pepper, and toss lightly.
Roast the salmon and asparagus in the oven for 12 minutes, or until the salmon reaches an internal temperature of:125°F for medium-rare135°F for medium140°F for medium-well If additional cooking time is needed, leave it in for a few more minutes but avoid exceeding 140°F.
Make the sauce: In a small bowl, mix together the mayonnaise, Greek yogurt, and Dijon mustard. Zest the second lemon directly into the mixture, then cut it in half and squeeze in the juice. Add ¼ teaspoon salt, ⅛ teaspoon black pepper, and the remaining chopped dill. Stir well to combine.
Finish the dish: Once done, remove the salmon and asparagus from the oven. Squeeze the juice from the reserved lemon half over the asparagus for added brightness.
Serve: Plate the salmon and asparagus, drizzling the sauce over the top or serving it on the side. If making ahead, refrigerate and bring to room temperature 30 minutes before serving.