Open the trout and pat dry with a paper towel. Season with salt and pepper. For each trout, lay a sprig of thyme and two slices of lemons in the cavity. Fold the fish back over and wrap the bacon around the fish with the seams on the bottom.
Place the fish on a baking tray and bake for 8 minutes. Transfer the fish to a boiler and let it cook until the bacon is golden and just crisp. The time will vary depending on your oven.