How to Make It
Gently run your fingers under the skin of each breast to form a small pocket. Fold the prosciutto slices and slip 1 under the skin of each breast.
In a small bowl, combine 1/2 cup of the mascarpone with the thyme, lemon zest, 1/4 teaspoon of salt and a pinch of pepper. Carefully stuff 1 tablespoon of the mascarpone mixture into each chicken breast pocket, pressing lightly to form an even layer.
Preheat the oven to 450°. Heat 1 tablespoon of the oil in each of 2 large nonreactive ovenproof skillets until almost smoking. Season the chicken with salt and pepper and add 4 breasts to each skillet, skin side down. Cook over high heat until golden brown, about 3 minutes. Turn the breasts and cook for 2 more minutes, or until just cooked through. Transfer the chicken to a platter; keep warm.
Set each skillet over moderate heat. Add half of the lemon juice to each skillet and bring to a boil, scraping up the browned bits. Combine all the pan juices in 1 of the skillets. Add the remaining 2 tablespoons of mascarpone and simmer, stirring, until thickened and smooth, about 1 minute. Season with salt and pepper, pour the sauce over the chicken and serve.