Preheat oven to 375 degrees F (190 degrees C). Lightly grease a medium baking dish.
Pierce lemons several times with a fork, and place 1 inside each chicken cavity. Arrange chickens in the center of the prepared baking dish. Place onions, shallots, and garlic around the chickens. Sprinkle vegetables with olive oil, and season with salt and pepper. Spread butter over the chickens, and line each with thyme sprigs.
Bake 20 minutes in the preheated oven. Increase temperature to 400 degrees F (200 degrees C), and continue baking 30 minutes, or until exterior of chicken is golden brown, meat is no longer pink, and juices run clear. Allow to cool about 15 minutes before serving.
