How to Make It
Combine oil, lemon quarters, limoncello, thyme leaves, salt, and crushed red pepper in a blender; process until smooth, about 1 minute and 30 seconds. Place chicken wing pieces in a large bowl; add oil-limoncello mixture, and toss to coat. Cover bowl with plastic wrap; refrigerate at least 8 hours or up to 12 hours.
Heat oil in a medium saucepan over medium. Add onion and garlic; cook, stirring often, until onion is translucent, about 4 minutes. Add pepperoni slices; cook, stirring often, until fat from pepperoni is released, about 5 minutes. Add fennel seeds and crushed red pepper; cook, stirring often, until mixture is fragrant, about 2 minutes. Crush plum tomatoes by hand, and add crushed tomatoes and 1/2 cup broth to pan. Bring to a simmer over medium. Reduce heat to low, cover, and simmer, stirring occasionally, until flavors have melded, about 30 minutes. Remove from heat. Transfer mixture to blender. Secure lid on blender, and remove center piece of blender lid to allow steam to escape. Place a clean towel over opening. Process until mixture is smooth, about 2 minutes, adding up to remaining 2 tablespoons broth as needed until pepperoni sauce is the texture of hummus. Set aside.
Preheat oven to 500°F. Line a large rimmed baking sheet with aluminum foil, and place a wire rack over foil. Generously coat wire rack with cooking spray. Arrange wings in a single layer on prepared rack.
Bake in preheated oven until wings are golden brown and a meat thermometer inserted in thickest portion of chicken registers 165°F, about 40 minutes, flipping once halfway through baking time. Spread a thin layer of pepperoni sauce on a platter; top with warm wings. (Reserve any remaining pepperoni sauce for another use.) Garnish with thyme, and serve with lemon wedges.