Heat the oil in a frying pan, and add the finely diced onion. Cook for a few minutes over a medium heat, until the onion is soft. Add the cooked puy lentils, chopped dill, lemon juice and chopped capers, and cook for a couple more minutes until the lentils are heated through.
Add the mascarpone cheese and plenty of black pepper, and mix to combine. You may also need to add a dash of water if the mixture seems too thick.
In a hot griddle pan or frying pan, cook the halloumi for a few minutes each side, until golden brown.
Serve the creamy lentils topped with the grilled halloumi.