Let tenderloin stand at room temperature 1-1/2 to 2 hours if convenient. Meanwhile, stir-fry onion, carrot, and celery in butter over low heat about 10 minutes until tender but not brown; mix in lemon rind. Preheat oven to 450 degrees F. Spread vegetable mixture over tenderloin, lay bacon slices on top, and insert meat thermometer in center. Roast, uncovered, on a rack in a shallow roasting pan 5 to 6 minutes per pound for rare (120 to 125 degrees F.) and 7 to 8 minutes for medium rare (130 to 140 degrees F.). Remove bacon and vegetables and discard.
Transfer tenderloin to a steak board or hot platter and keep warm. Skim fat from drippings, smooth in sour cream, and warm gently, but do not boil, 1 to 2 minutes. Garnish beef with stuffed mushrooms and watercress. Top with some of the sauce, and sprinkle with paprika. Pass remaining sauce.