Season snapper fillets with salt and pepper. Place fish in a baking pan, and set aside.
Heat a saucepan, and melt 2 tablespoons of butter. Saute' the bananas on both sides to golden brown, and set aside.
Heat the remaining 2 tablespoons of butter with the sugar until the sugar caramelizes. Add the orange and lemon juices, and reduce to half. Add the coconut milk, and season the sauce with salt and pepper.
Place a piece of banana on each fillet, and pour the sauce over the top. Bake in the oven for 10 to 12 minutes or until cooked. Serve hot.