Place snapper fillets in a glass baking dish and pour Italian dressing over top. Gently turn fish to evenly coat. Cover the dish with plastic wrap and marinate in the refrigerator, 8 hours to overnight.
Preheat an outdoor grill for medium heat. Make a tray with aluminum foil and spray with cooking spray.
Remove fish from the dressing and place on the foil tray. Place lemon slices and jalapenos on top. Discard any remaining dressing.
Place the tray on the preheated grill and cook until fish begins to turn a nice, light color and flakes easily with a fork, 5 to 6 minutes per side.