Season the fish inside and out with salt, stuff with lemon slices, and set aside.
To make the Romesco, combine bell peppers, almonds, garlic, paprika, cayenne, and vinegar in a food processor and pulse until it has a semi-smooth yet chunky texture. Transfer to a mixing bowl.
Drizzle in the olive oil and fold in with a spatula.
Preheat oven to 425°F. Place the sea bream on a lightly oiled sheet pan. Bake 8–10 minutes. You want the skin to get some color and become crispy, but not burned. After baking, peek inside the body cavity of the fish to make sure it is cooked to about medium. If the fish isn’t cooked or the skin needs more color, increase temperature to 450° and cook a few minutes more. Carefully transfer the sea bream onto a serving platter. Place a ramekin of romesco and the 1⁄2 lemon on the platter, and garnish with parsley.