Preheat oven to 450 degrees. Pat fish dry; rub cavity and skin with oil, then season generously with salt and pepper.

Stuff cavity with lemon slices and a few sprigs of thyme. Transfer to a rimmed baking sheet, standing fish upright (cavity-side down); place with 3 lemon wedges along each side. Scatter remaining thyme sprigs around fish.

Roast until fish is just cooked through, 17 to 22 minutes, depending on size. Fillet fish and serve with roasted lemon wedges.