Preheat an outdoor grill for medium-high heat and lightly oil the grate.
Place two walleye fillets onto the center of a sheet of heavy-duty aluminum foil. Drizzle with 2 tablespoons melted butter and 2 tablespoons lemon juice, season with salt and pepper, and place 1/2 of the onion rings over top. Bring the sides of the foil over the fish and fold several times, then roll up the ends, making an airtight pouch. Repeat with the remaining ingredients to make another pouch.
Place pouches onto the preheated grill and cook until fish is no longer opaque in the center and flakes easily with a fork, 15 to 20 minutes.