Place hazelnuts on a baking sheet and place into preheated oven. Bake until the skins loosen and the nuts turn a light golden-brown, 20 to 30 minutes. Remove from oven and allow to cool until you can handle them. Remove the skins by placing the hazelnuts into a kitchen towel, folding it over, and rubbing until the skins come off. Discard the loosened skins, and chop the nuts into very small pieces by hand. Whisk together lemon juice, hazelnut liqueur, sherry, and salt together in a bowl until the salt has dissolved.
Whisk in pepper, 2 tablespoons lemon zest, and shallots; slowly pour in canola oil while whisking vigorously until completely incorporated. Pour into a resealable plastic bag or glass bowl; toss fish with marinade, then refrigerate 8 to 24 hours.
Preheat an outdoor grill for high heat and lightly oil grate.
Remove the salmon from the marinade, shake off excess, and discard remaining marinade. Cook on preheated grill 6 to 8 minutes per side, or until the fish is just opaque. Garnish with hazelnuts and lemon zest to serve.