Preheat the oven to 300 F. Toss together the fennel, orange and lemon slices, and jalapeño pepper in a 9-by-13-inch baking pan.
Lay the cod pieces next to the citrus mixture. Scatter the thyme sprigs over the fish. Drizzle with the olive oil and sprinkle with the salt and pepper.
Roast the fish for 25 to 30 minutes, or until it is opaque and cooked through. Serve the fish with the roasted fennel and citrus.
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