Start by roasting the onions and red peppers. This can be done on a gas grill, under the broiler, or on a cast iron grill pan. The goal is to get char marks on the peppers and onions. They do not require complete cooking at this stage.
Add the chopped charred peppers and onions to a food processor or blender. You can also use an immersion blender if you have one. Blend the ingredients until they are completely pureed.
Add the grilled peppers and onions to a food processor along with the minced garlic, lemon juice, red wine vinegar, lemon zest, red Thai chilies, smoked paprika, dried oregano, kosher salt, and black pepper. Puree until a smooth consistency is achieved.
Transfer the sauce to a medium saucepan and add the bay leaves. Simmer the sauce over low heat for 15-25 minutes.
Allow the sauce to room temperature. Remove the bay leaves from the sauce and return it to the food processor.
Combine the remaining lemon juice, lemon zest, and red wine vinegar. Until the sauce is fully smooth, mix the ingredients for a while longer.
Pour the extra virgin olive oil into a thin stream while the processor is running to emulsify the sauce.
Transfer the Pepes Sauce to a glass jar and keep it in the refrigerator before using.