Preheat oven to 375 degrees F (190 degrees C). Grease a baking pan with olive oil.
Lay 1/3 of lemon slices on the bottom of the prepared pan; top with 1 bay leaf and 1 chicken breast, skin side-up. Repeat layer with another 1/3 of the lemon slices and the other bay leaf and chicken breast. Cover with the remaining lemon slices. Sprinkle thyme, salt, and pepper on top.
Place chicken on the middle rack of the preheated oven and bake, uncovered, until no longer pink at the bone and the juices run clear, about 45 minutes. An instant-read thermometer inserted near the bone should read 165 degrees F (74 degrees C).
Transfer baked chicken onto a plate to rest, about 15 minutes. Transfer cooked lemons onto a cutting board. Dice and mix into the pan juices. Spoon mixture onto a serving plate with the chicken.