Put a rimmed baking sheet in the upper third of the oven and preheat to 475 degrees F. Toss the Brussels sprouts, carrots, red onions, bacon, thyme leaves, 2 tablespoons olive oil, 1/2 teaspoon salt and a few grinds of pepper in a large bowl. Spread on the hot baking sheet and roast until the vegetables are tender and start browning around the edges, about 20 minutes.
Season the cod all over with salt and pepper and brush with the remaining 1 tablespoon olive oil. Arrange the cod fillets about 2 inches apart on top of the vegetables and top each with a thyme sprig. Roast until the fish is just cooked through and the Brussels sprouts are browned, 8 to 10 minutes. Discard the thyme sprigs. Sprinkle the cod and vegetables with the parsley and serve with lemon wedges.