Season the fish inside and out and place on a lightly oiled baking sheet. Place a couple of lemon slices in the cavity of each fish.
Stretch the bacon with the back of a knife blade to thin it, then wrap a bacon rasher around each fish and tuck a thyme sprig under the bacon. Tuck any leftover lemon slices around the fish and drizzle over the oil.
Place in a preheated oven, 220°C (425°F), Gas Mark 7, for 15–20 minutes until just cooked through. Serve immediately.