Ideas for a pescetarian Turducken (aka a fish in a fish in a fish)
Unquestionably, I'd consider the colors of the fish. It seems a natural that your outer fish should be salmon (head, tail and skin intact, scaled, gutted, with spine and rib bones removed). I'd try to present the whole thing as if it were a whole salmon. Cut through the center of the salmon for presentation, that could be a tremendous presentation. (You've got me interested, I want to try this myself! :) For the inner fish varieties, consider very clean fillets of fish of different levels of oiliness and color of cooked flesh. Maybe halibut for the middle of the 3 layers and tuna for the center? It would be a neat trick if you could somehow fully cook the outer layers but keep the inner tuna layer rare. I'd stuff the very center of the whole thing with some kind of shrimp or crab mousse. I'd spread a deeply flavored and colored compound butter on the outer surfaces of the other fish. What fun! Good luck.

EDIT: SAJ14SAJ mentions sous-vide as a good cooking method. I concur. If you do that or very carefully poach the outer two fishes in advance, then sear the tuna and assemble everything, it could be epic. The tricky thing is deboning the outer fish. Here's a video showing the technique Deboning a Whole Trout. You might even consider presenting the whole thing chilled. Chilled, I'd forgo the butter and use brightly colored mousses between the layers of fish instead.