Preheat the broiler. Arrange the lemon slices in a small roasting pan and drizzle with 1 tablespoon of the oil. Broil 8 inches from the heat until lightly browned. Finely chop 2 of the lemon slices, removing any pits. Transfer the minced lemon to a small bowl; stir in the mayonnaise and cayenne and season the aioli with salt and pepper. Scatter the thyme sprigs over the lemon slices in the pan.

Make three 1/2-inch-deep slashes in the skin of each sea bass fillet and slip a bay leaf into each slit. Place the fish skin side up in the roasting pan and drizzle with the remaining oil; season with salt and pepper. Broil for 10 to 12 minutes, until the skin is browned and crisp and the fish is cooked through. Transfer the fish and lemons to plates; discard the thyme sprigs and bay leaves. Pour any accumulated juices into the aioli, stir well and serve with the fish.