Baking fish in parchment paper or tin foil is a common technique used in France and gourmet cooking circles as "en papillote". It steams the fish with a minimum of fuss and equipment. Delicate fish like Sole and other thin white fish are particularly delicious cooked this way because it cooks the fish gently and keeps the fish moist.
You can sauté the onions, peppers and mushrooms before wrapping in parchment with fish, if you prefer.