Special equipment: a pastry bag, a plain tip with a 1/4-inch opening
In a small bowl, combine the cheeses, thyme, and lemon zest. Place the cheese mixture into the pastry bag. Pipe the cheese mixture into each olive.
Place the flour in a small bowl. Pour the beaten egg in another small bowl and the bread crumbs in a third small bowl. Dredge the olives in the flour. Using a slotted spoon, remove the olives and place in the bowl with the beaten egg. Coat the olives with the egg and transfer to the bowl of bread crumbs. Coat the olives with the bread crumbs.
In a large heavy-bottomed saucepan, pour in enough oil to fill the pan about 1/3of the way. Heat over medium heat until a deep-frying thermometer inserted in the oil reaches 350 degrees F. (If you don't have a thermometer a cube of bread will brown in a couple of minutes.) Fry the olives, in batches, for 30 to 45 seconds until golden brown. Drain the fried olives on paper towels. Cool for 5 minutes.