Combine melted butter, olive oil, dried oregano, smoked paprika, minced garlic, lemon juice, salt, and pepper in a large resealable plastic bag or bowl.
Add the chicken legs to the bag or bowl and toss to coat evenly with the marinade.
Seal the bag or cover the bowl and refrigerate for at least 30 minutes and up to 24 hours.
Preheat the oven to 450°F (230°C).
Arrange the marinated chicken legs in a casserole dish or on a baking sheet and tuck lemon slices between the pieces.
Bake uncovered for 30 to 35 minutes, until the skin is golden and an instant-read thermometer inserted into the thickest part of a drumstick reads 180–185°F (82–85°C), or juices run clear.
Garnish with fresh thyme and serve warm.