Preheat the oven to 400˚F. Slice each fennel bulb into 8 wedges and place in a baking pan. Lay the thin lemon slices over and around the fennel. Drizzle with olive oil and dust with salt, pepper, and thyme. Roast for 30 minutes or until tender.Remove one of the roasted lemon slices and mince. You should have 2 teaspoons of minced roasted lemon. Set it aside. Bring the orange juice to a simmer in a skillet over medium-high heat. When reduced by half, it will begin to caramelize. Add the olives, minced roasted lemon, raisins, and breadcrumbs, and sauté until fragrant and the breadcrumbs are lightly toasted.
Remove the remaining roasted lemons from the baking dish and discard them. Sprinkle the Gorgonzola over the fennel and fold the breadcrumb mixture around it.
(If making this ahead, you can stop here, cover with plastic and refrigerate. Rewarm at 350F for 15 minutes before continuing.)
Broil for 2 minutes, or until the cheese melts and the fennel and breadcrumbs are lightly crisped.
Remove and sprinkle with the finely chopped oranges and chives.
Serve warm.
