Preheat the oven to 350 degrees. Coat a baking sheet with olive oil cooking spray.
Chop the onion and fennel into large chunks, leaving the cores intact, so the chunks stay attached. Drizzle with one tablespoon of olive oil and season with sea salt and freshly cracked black pepper to taste.
Place in the oven to roast for 20-25 minutes, stirring halfway through, then remove from the oven.
Add the other vegetables to the baking sheet, drizzle the last tablespoon of olive oil over the veggies, and re-season with salt and pepper, tossing to coat.
Return to the oven to roast for an additional 10 minutes, or until the vegetables are fork-tender.
Top with lemon zest, lemon juice, and Parmesan shavings. Enjoy.