Preheat oven to 500 degrees F. Rinse the fish fillets, and pat dry. Use a small dish, and mix the mayonnaise, lemon juice, mustard, sugar, Worcestershire sauce, garlic powder, and cayenne pepper.
Lay the fish in an oblong baking dish coated with nonstick cooking spray. Spread the mayonnaise mixture over the fillets, and let sit to marinate for about 30 minutes. Sprinkle with paprika, and bake for 10 to 15 minutes, or until fish flakes easily with a fork.