Preheat oven to 400° F. Place a rack on a rimmed baking sheet. Set aside.
Press the tip of a metal straw or chop stick through the stem end the dates to push the pits out the opposite side.
Working one at a time, slide a stick of Parmesan into the center of each date.
Wrap a piece of bacon tightly around the date and secure it with a toothpick. If preparing ahead, refrigerate prepared dates in a sealed container until ready to bake.
Arrange dates about an inch apart on the rack. Bake until the bacon crisps, about 20 to 25 minutes. Let the dates cool for about 10 minutes before plating.
Just before serving, zest a lemon over the dates and scatter torn thyme leaves over the top. Add coarse salt.
Take care when eating as the centers stay hot for quite awhile.