Preheat the oven to 350°F (180°C).
Cut the parchment paper into two pieces. Fold each into a boat shape and secure the ends with kitchen twine, as shown in the video.
Using a sharp knife, make diagonal cuts across each chicken breast.
In a bowl, whisk together olive oil, honey, salt, black pepper, and blood orange juice to make the sauce.
Place the parchment boats on a baking sheet. Layer orange slices, lemon slices, and thyme sprigs inside each boat, then add the chicken. Generously pour the sauce over the chicken, reserving a small amount for later.
Roast in the oven for 25 minutes, or until the chicken is cooked through.
Brush the reserved sauce over the chicken. Garnish with fresh thyme leaves and lemon zest before serving.