Preheat the oven to 200°C.
Wash the pears, dry them carefully and cut off the top caps (about 3 cm), setting them aside. Remove the core with a corer, then slice the pears horizontally to obtain discs about 1 cm thick. Drizzle with the lemon juice and set aside.
Cut the Roquefort into thin slices.
Arrange the two bottom slices of each pear on a baking tray lined with baking paper, place a slice of Roquefort and half a slice of speck on top. Place two round pear slices on the speck and continue building further layers, finishing each portion with the pear caps set aside.
Drizzle each mille-feuille with a little oil and a pinch of pepper and bake to soften for about 10 minutes. Serve warm, garnished with fresh thyme leaves.