Preheat oven to 400 degrees F. Rinse catfish under cold running water and pat dry. Lightly coat a large non-reactive baking dish with the vegetable oil and set aside. In a bowl, combine the soy sauce, sesame oil, ginger, garlic, lime zest, and cayenne, and stir well to mix. Lay the catfish in the prepared dish. Pour the soy sauce mixture over the fish to coat but not saturate. Cover and refrigerate for 30 minutes.
Bake until the fish is tender, opaque and starts to flake with a fork, about 20 minutes. Remove from the oven and let cool slightly before making the sandwiches.