In a bowl, combine thyme, garlic, orange peel, salt, and pepper. Mix well. Trim any excess fat from the lamb and lay it, opened, on a cutting board; cut about a dozen slits in each side about ½ inch deep. Fill each slit with some of the spice mixture and rub the remaining mixture all over both sides of the meat. Brush the olive oil on both sides of the meat and let sit at room temperature for 1 ½–2 hours. (You can make this a day ahead and refrigerate it, but be sure it rests at room temperature before grilling.)

Preheat grill to medium-high.

Place lamb on the grill and cook for 7–9 minutes per side (for medium rare) or until meat reaches preferred doneness. Remove from the grill and let rest 10–15 minutes before slicing and serving.