Preheat oven to 375°F (190°C). Line a baking sheet with parchment paper.
Pat the salmon fillet dry with paper towels and place skin-side down on the parchment.
In a bowl, combine cream cheese, feta, Greek yogurt, dill, lemon zest, garlic, salt, and pepper.
Spread the cheese mixture evenly over the salmon, leaving a ½-inch border all around.
Use the parchment to help roll the salmon tightly into a log.
Wrap the roll in plastic wrap and refrigerate for 15 minutes.
Unwrap and slice the roll into 1-inch-thick pinwheels with a sharp knife.
Place pinwheels cut side down on the baking sheet and drizzle with olive oil.
Bake for 18–20 minutes, until salmon is opaque and the filling is warmed through.
Let cool for 5 minutes, garnish with lemon slices, and serve.