1. Preheat the oven to 425 degrees F. Remove the stems from the mushrooms and set aside. Place the caps, stem-side down on a baking sheet and brush the outsides with the oil. Bake until soft, but still holding their shape, 15 minutes.
2. Meanwhile, crisp the bacon in a medium skillet over medium heat. Transfer bacon to a paper towel-lined plate and reserve the skillet and drippings. Finely chop reserved mushroom stems and add to the bacon drippings along with the shallot and thyme. Season with salt and pepper and cook, stirring, until mushrooms are dry, about 5 minutes. Add spinach and continue to cook until the spinach wilts,1 minute.
3. Transfer mixture to a bowl and add the bread cubes and lemon zest. Chop the cooked bacon, and combine with the mushroom mixture. Place the caps stem side-up on a separate baking sheet and evenly fill each cap with the stuffing. Bake until the mushrooms are hot and lightly browned, about 5 minutes. Place a piece of blue cheese on each mushroom and continue to bake until the cheese just begins to melt, about 3 minutes. Serve.
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