Preheat the oven to 425 degrees F.
Sprinkle the inside and outside of the trout with salt and pepper. Combine 1 tablespoon of the olive oil, the herbs, capers, garlic, lemon juice and some salt and pepper in a small bowl and divide this mixture between the two trout. Fold the trout back onto themselves, lay 2 lemon slices on top of each fish, and then wrap each trout with 2 slices of bacon holding the lemons in place.
Heat a large cast-iron skillet over medium-high heat and coat lightly with the remaining tablespoon olive oil. Place the trout, lemon-side up, in the pan and cook for 3 minutes, then place in the oven. Roast, flipping halfway through roasting to ensure the bacon is crisp, for 20 to 25 minutes.