Bring a large stock pot of water to a boil. Add the salt, onion, bay leaf, peppercorns, lemon, and garlic. Let simmer to infuse the water, about 5 minutes, and then add the lobster and cook for 8 to 10 minutes. Remove the lobster from the water and place in a bowl of ice water. When cool, remove the legs and set aside. Starting at the center of each lobster, cut in half lengthwise along the back, and clean out the tomalley, adding to the bowl with the legs. Remove the tail and claw meat and roughly chop. Save the legs, claw shells, and tomalley for another purpose, such as stock. Rinse the shells for serving.
Preheat the oven to 400 degrees F.
In a medium saute pan, add the butter, oil and chorizo and cook for 5 to 6 minutes, stirring frequently. Add the red bell pepper and garlic and saute until the garlic is cooked, 2 to 3 minutes. Add the flour and cook until roux is blonde in color, 3 to 4 minutes more. Slowly stir in the milk and cook until thickened. Add the white wine, tarragon, Dijon, pepper, lemon juice and 1/4 cup Parmesan. Remove from the heat.
Combine the lobster meat and sauce and fill the cleaned lobster shells with the mixture. Top with the panko and remaining Parmesan.
Place on a baking sheet and cook until the top browns, 8 to 12 minutes.