Bring a large pot of salted water to a boil and blanche the Brussels sprouts for 3-5 minutes (large sprouts will need the 5 minute blanching). Remove from the water and immediately place in a bowl of ice water to stop the cooking process.

Meanwhile, brown the chopped bacon in a large skillet. Remove the bacon to drain and reserve 1 tablespoon of bacon fat in the pan. Add in the onion, thyme, salt and pepper, and the Brussels sprouts and cook until the sprouts can be easily pierced with a knife. Stir in the lemon zest and juice and the heavy cream. Bring to a simmer and reduce heat. Cook for 3-5 minutes or until the cream has thickened and coats the sprouts. Taste for seasoning, sprinkle with cooked bacon and serve immediately.