I think unless the skin is on you are going to have a mess trying to brine walleye.
I have baked some walleye on the grill before and it flakes apart pretty easily when it gets done.
I would think if you just put it on some foil or even a cedar plank you would be good to go.
Season it if you wish.
I have a Traegar pellet smoker but have never tried smoking walleye, only salmon.
I would just be careful to not dry it out too much
Good luck and keep us informed how it turns out.