Heat grill to high. Place spices in a small saute pan and toast on the grill for 45 to 60 seconds, shaking the pan several times, or until just fragrant. Let cool slightly and grind in a spice grinder or coffee grinder until finely ground.
Process yoghurt, onion, lemon juice, zest, cayenne, and toasted spices in a food processor until smooth. Set aside or refrigerate if not using for a while.
Thread salmon onto skewers so the fish lies flat. Drizzle with olive oil and season with salt and pepper. Grill for 2 to 3 minutes on each side or until slightly charred and just cooked through. Serve with yoghurt sauce on the side and drizzle the juice of 1/2 orange over all.