Grilled Halibut with Tarragon-Caper Mayonnaise

For the mayonnaise:

• 1 large egg
• 4 tsp. fresh lemon juice
• 3/4 tsp. kosher salt; more as needed
• Freshly ground black pepper
• 1/2 cup extra-virgin olive oil
• 1/2 cup canola or vegetable oil
• 1/4 cup finely chopped cornichons (or gherkins)
• 2 Tbs. chopped capers
• 1 Tbs. minced shallot
• 1 Tbs. finely chopped fresh flat-leaf parsley
• 1 Tbs. chopped fresh tarragon
• 1/2 tsp. sweet paprika

For the halibut:

• 1-1/2 Tbs. olive oil; more for brushing the grill
• Four to six 1-1/4-inch-thick halibut steaks (6 to 8 oz. each)
• 1 tsp. kosher salt