Preheat oven to 400°F.
Place whole eggplants on a baking sheet and roast about 20 minutes, until soft.
While the eggplants are roasting, heat about 2 tablespoons of olive oil in a large skillet over medium-high heat. Add the onions, fennel and thyme to the pan and cook until they are sweet and brown, about 15 minutes. Then add the garlic, salt, freshly ground black pepper, capers and tomato paste. Keep stirring everything around while the tomato paste cooks. After about 2 minutes the tomato paste will begin to caramelize and smell sweet. Add half the lemon juice, scrape all the bits off the bottom of the pan then remove pan from heat and set aside.