Preheat oven to 500 degrees.
Heat the oil in a large skillet over medium heat. Add the bacon and sauté until crisp, about 3 minutes. Using a slotted spoon, transfer the bacon to a plate.
Add the red bell pepper, shallots, garlic and oregano to the same skillet and sauté until the shallots are tender and translucent, about 5 minutes. Add the wine and lemon, simmer about 2 minutes. Remove the skillet from the heat and cool completely. Stir in 2 tablespoons of Parmesan cheese into the vegetable mixture. Season the mixture to taste with salt and pepper.
Line a heavy large baking sheet with foil. Arrange the clams in the reserved shells on the baking sheet. Spoon the vegetable mixture equally on each clam. Sprinkle clams with remaining 2 tablespoons of Parmesan cheese. Bake until the clams are cooked through, about 10 minutes.
Plate and serve.