How to Make It
Preheat the oven to 375°. In a food processor, combine the anchovies with the garlic, thyme, rosemary, orange zest and olive oil and process to a smooth paste. Season with salt and pepper. Using a small paring knife, make 1 1/2-inch-deep slits all over the lamb. Spread the herb paste all over the lamb, working it into the slits; season the lamb with salt and pepper.
On a large sheet of plastic wrap or wax paper, overlap the pancetta slices to form a 12-by-15-inch rectangle. Set the lamb on the pancetta and wrap the plastic around the leg, pressing to help the pancetta adhere. Peel off the plastic and reposition any slices of pancetta. Using 7 or 8 long pieces of kitchen string, tie the roast at 1-inch intervals.
Set the lamb in a roasting pan and scatter the onion, carrot and celery around it. Roast for about 2 1/4 hours, or until the pancetta is golden and an instant-read thermometer inserted in the thickest part of the meat registers 140°. Transfer the lamb to a cutting board and let rest for 20 minutes.
Meanwhile, set the roasting pan over high heat. Add the wine and bring to a boil, scraping up any browned bits from the bottom of the pan. Strain the wine into a small saucepan and simmer until reduced to 1 cup, about 20 minutes. Skim the fat from the sauce and transfer to a gravy boat. Remove the kitchen string from the lamb and thinly slice the meat. Serve at once with the sauce.