How to Make It
Preheat the oven to 350°. In a small bowl, combine the thyme with the orange and lemon zest. In another small bowl, combine the orange and lemon juices.
Set the lamb on a work surface, fat side down. Sprinkle 1/4 cup of the citrus juice over the lamb, season with salt and pepper and sprinkle with two-thirds of the zest mixture. Roll up the lamb and tie it at 3-inch intervals with kitchen twine. Rub the lamb with olive oil and the remaining zest mixture and season with salt and pepper.
Set the lamb in a medium roasting pan. Pour in the wine and 1/4 cup of water and roast for 30 minutes. Increase the oven temperature to 400°. Pour 2 tablespoons of the citrus juice over the lamb. Add 1/4 cup of water to the pan and roast the lamb in the upper third of the oven for 45 minutes. Pour the remaining citrus juice over the lamb and roast for about 20 minutes longer, until an instant-read thermometer inserted in the thickest part of the meat registers 145°.
Transfer the lamb to a carving board and let rest for 15 minutes. Scrape the pan juices into a small saucepan and bring to a simmer. Remove from the heat and whisk in the butter, 1 tablespoon at a time. Season the sauce with salt and pepper.
Remove the twine from the lamb and carve the meat into thick slices. Serve the lamb with the sauce.