Halve the challah horizontally and place on a platter. In a large bowl, mix the onion, capers, EVOO, celery, herbs, and lemon zest and juice; season generously with pepper. Spoon the caper relish on the top half of the bread, pressing lightly so the relish sticks to the bread.
Spread the cream cheese on the bottom half of the bread. Arrange the salmon on the cream cheese in an even layer. Add the top half of the bread, pressing down lightly. Cover and refrigerate until flavors meld, at least 8 hours or overnight.
Let the sandwich stand at room temperature about 10 minutes before serving.