Place the fish in a shallow baking dish, pour the milk on top. Cover with plastic wrap and refrigerate for 30 minutes.
Grind the pistachios in a food processor until they become a coarse powder.
Stir together the ground up pistachios, cornmeal and cayenne pepper and place in another shallow baking dish, or a plate.
Preheat the oven to 425° F and line a baking sheet with foil and place a wire cooling rack on top of it. Spray the cooling rack with nonstick cooking spray.
When ready to bake, lift each filet out of the milk and allow the excess to drip off, season with salt and pepper. Then, dredge each filet into the pistachio coating and place on the prepared baking sheet. You might have to press the pistachio coating gently onto the fish.