Using a sharp knife, make 3 shallow slashes across either side of the sea bass. Mix together 2 tablespoons of the oil, the thyme and chilli. Rub all over the fish. Place in a baking dish and arrange the lemon slices around. Bake in a preheated oven, 220°C (425°F), Gas Mark 7, for 20–25 minutes until just cooked through.
Meanwhile, rub 1 tablespoon of the remaining oil over the peppers, place in a baking dish and cook in the oven with the fish for 15–20 minutes until well browned. Transfer to a sealed freezer bag for 5 minutes. Peel away the skins, discard the cores and seeds and chop.
While the fish and peppers are cooking, heat a small, dry saucepan and cook the nuts for 3 minutes until lightly browned. Leave to cool a little, then roughly chop. Whisk together the vinegar, garlic and paprika. Add the remaining oil and season well. Toss with the peppers, tomatoes, nuts and parsley. Serve the baked fish with the Romesco salad.