Preheat the oven to 375°F (190℃). Line a baking sheet with foil, and lay the bacon slices on top. Bake for about 22-25 minutes, until the bacon is nice and crispy, then transfer to a paper towel lined plate to cool. Once the bacon is cool, crumble and set aside in a bowl.
Turn the oven up to 425°F (220℃). Remove the foil from the baking sheet and replace. Grease the baking sheet with butter or if you’re feeling extra bacon-y, the fat from cooking the bacon.
Melt the butter in a small bowl, and whisk in the lemon juice, salt, paprika and pepper. Set aside until your apples are prepared.
Slice the apples in half from stem to tail, then use a melon baller to remove the seeds and cut out the stem and the calyx (the bottom part where the blossom was). Try to leave as much apple flesh as possible to make the hasselbacking work better. Place the apple halves cut-side down as you work to prevent them from oxidizing too much.
Working carefully, hasselback the apples. Place them on their flat side, then make slices about ¼ — ⅓ of an inch (3.5 - 3.3 cm) apart, working from the stem end to the tail end. Slice the apples almost all the way through, leaving about an 1/8 of an inch (2.5 cm) uncut at the bottom. Arrange them on their flat side on the baking sheet.
Use a pastry brush to gently coat the tops of the apples with the butter mixture. You don’t need to get inside the cuts (and you won’t be able to!). Use about ⅓ of the butter mixture. Place the apples in the center of the oven and cook for 10 minutes to soften, then remove from the oven immediately and let cool.
While the apples cook, remove any stems from the fennel, and slice off the base. Cut the fennel in half from stem to base, then carefully remove the core. Slice as thinly as possible, making enough fennel slices to fit in the cuts in the apples. Add the fennel slices to a bowl and toss with half of the remaining butter mixture. If your fennel is too cold, the butter will solidify, so have the fennel at room temperature.
Gently wedge the fennel slices into each cut of the apple, then brush with the remaining butter mixture. Place back in the oven for another 15 minutes. After 15 minutes, the apples and fennel will be soft but al dente, so if you want them softer, cook for for another 5-10 minutes. While the apples are cooking, crumble the blue cheese into a small bowl and keep in the fridge.
Remove from the oven, transfer to a serving plate, and pour the juices from the pan over the hasselbacks. Sprinkle the bacon and blue cheese over the top. Finish with the picked thyme leaves and serve!