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Start the Traeger grill on Smoke with the lid open until the fire is established (4 to 5 minutes). Set the temperature to 375F and preheat, lid closed, for 10 to 15 minutes.
Spray a baking sheet with nonstick cooking spray.
Scrub the potatoes with a vegetable brush under cold running water; dry on paper towels. Cut each potato in half lengthwise.
Combine the butter and lemon juice in a small bowl and brush on the cut sides of the potatoes.
Mix together the grated Parmesan, dried thyme, and black pepper on a sheet of foil or wax paper. Dip the cut side of each potato in the Parmesan mixture, pressing firmly to encourage the cheese to adhere. Transfer the potato halves, cut sides down, to the prepared baking sheet.
Bake the potatoes until they are tender and the cheese is lightly browned and bubbling, 40 to 45 minutes. (A bamboo skewer should pierce the potato easily.) Use a thin-bladed spatula to transfer the potatoes to a platter or plates. Enjoy!