Preheat oven to 350 degrees. Cut out a lid around stem end of pumpkin and set aside. Scrape out and discard seeds and string. Put pumpkin on a baking sheet along with lid. Brush pumpkin flesh with oil. Rub in salt, pepper, and pimenton. Add lemons, garlic, and bay leaves. Fill pumpkin halfway with stock.
Roast until flesh is soft when pierced with a paring knife, 2 to 2 1/2 hours. (Take care not to puncture skin.) Replace lid for effect and serve soup at table, scraping flesh from bottom and sides into broth,
then ladling it into bowls.