Prepare the fish: Preheat the oven to 425°F. Place 2 to 3 large sheets of aluminum foil on your work surface. Drizzle a tablespoon of oil lengthwise along the center of each piece of foil. Sprinkle salt and pepper over the oil and place a fish lengthwise along the center of each piece of foil, spreading each fish open like a book. Season the inside of each fish with salt and pepper, and divide the lemon slices and garlic evenly between the fish. Close the fish over the lemon and garlic. Divide the remaining oil evenly between the fish and drizzle over the top of each. Season with salt and pepper. Tightly seal each fish in foil and transfer to a rimmed baking sheet.

Bake 20 to 25 minutes until the fish is just cooked through. Let the foil packets cool slightly and transfer them to the refrigerator to cool completely, at least 2 hours or overnight.

Prepare the salad: Unwrap the fish from the foil and gently separate the flesh from the bones and skin, keeping the fish in large pieces. Transfer to a large bowl and gently toss the fish with the anchovies, scallions, and olives. Set aside.

Prepare the bread: Heat the oil in a large skillet over medium heat. Whisk the egg and cream in a medium baking dish and season with salt and pepper. Dip the bread slices into the egg mixture to coat on all sides and add to the skillet. Fry until golden brown on each side, flipping once, 4 to 5 minutes per side. Transfer to a paper towel-lined plate and let rest slightly until cool enough to handle. Tear the fried bread into large bite-sized pieces and add to the salad bowl.

Squeeze the lemon over the salad and season with salt and pepper. Gently toss the salad to meld the flavors and serve immediately with chilled vodka and a slice of salty feta.