Peel shallots and garlic. Cut shallots into small wedges. Finely chop 1 garlic clove and halve the other two.
Clean chicken legs and remove excess fat. Season generously with salt and coarse pepper. Heat a large pan over medium-high heat and sear the legs one by one for about 2-3 minutes on each side until browned and crispy. Set aside.
Cut lemon into thick slices. In the same pan over medium-high heat, fry lemon slices for about 1 minute on each side. Transfer to a baking dish. Distribute potatoes (whole if small, halved or quartered if larger) among the lemon slices. Scatter several thyme sprigs over.
Preheat oven to 200°C (392°F).
In the same pan over medium-high heat, fry the merguez for 5-7 minutes until cooked through. Add bay leaf, whole chilli pepper, halved garlic cloves, and shallot wedges; fry for 3 minutes. Deglaze with white wine and add chicken broth; bring to a boil for 2 minutes.
Transfer merguez to the baking dish with lemon and potatoes. Pour the hot broth over everything. Distribute chicken legs among the merguez and potatoes. Bake on the middle rack for 40-45 minutes. Baste legs halfway through. Scatter remaining thyme over the top 5 minutes before the end of cooking.
Pour the cooking broth into a saucepan and bring to a boil over medium heat for 2 minutes. Season to taste and serve alongside the dish.
Serve with tomato salad dressed with balsamic vinegar, honey, and sliced red onions.
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