In a large cast iron skillet over low heat, lightly toast the chiles until they are fragrant, about 2 minutes. Transfer peppers to a large bowl and set aside.
Add the onions to the skillet and increase the heat to medium-high. Sauté for 10 minutes or until the onions have lightly caramelized. Add the garlic and cook for an additional 2 minutes. Transfer onions and garlic to the bowl with the peppers.
In a 3-quart sauce pan over medium-high heat, combine the peppers, onions, garlic, thyme, oregano, bay leaf, cloves and water and simmer until the peppers are tender, about 10 minutes. Transfer to a medium bowl and let cool. Remove and discard bay leaf.
Transfer to a blender, add the achiote paste and pulse until puréed. Season to taste with salt, then strain through a fine-mesh strainer into a medium bowl, discarding solids.
Season the snapper filets on both sides with salt. Put fish in a medium bowl and add ½ cup of the chile sauce. Toss to coat and let stand at room temperature for 30 minutes.
Preheat a charcoal or gas grill to medium-high heat (a 9-inch cast iron skillet can also be used on the stovetop). Grill the fish, skin side down, until charred, about 4 minutes. Gently flip and grill for an additional 2 to 3 minutes on the second side.
Transfer the filets to 4 plates and serve with lime wedges and remaining chile sauce.