Combine salt, pepper, 1/4 tsp thyme, bay leaf & lemon juice. Rub inside of cavity of fish. Rub outside of fish with a little oil & sprinkle with salt & 1/4 tsp thyme. Place in greased baking pan. Bake in 350 deg oven for 45 to 60 minutes.
While the fish is cooking, make your sauce. In a small pan combine shallots, vinegar & wine. Bring to boiling; boil until reduced to 3 T. Discard solids. In a 3-quart saucepan, boil cream until reduced to 3/4 cup. Add strained wine liquid. Serve over fish.