*Note: I used a specialty lentil called Pardina also known as Spanish Brown Lentils. They are smaller in size than regular brown lentils and thus take a shorter time to cook. I purchase Pardina lentils in bulk at our local natural food store but you can find them online, too.
WITH BACON: Set a 6-quart or larger pot over medium heat. Add the bacon and cook slowly until the fat is rendered and the bacon is crispy. Remove the bacon with a slotted spoon and transfer to a paper towel. Pour off all but 1 tablespoon of the bacon fat. If using olive oil, simply heat the oil and continue to the next step.
WITHOUT BACON/VEGETARIAN VERSION: Warm the olive oil on medium heat and cook the onion until it softens and starts becoming translucent, about 5 minutes. Add the carrots and celery, and cook for another minute or two. Stir in the garlic, tomato paste, paprika, cumin, salt, and cinnamon. Cook until fragrant, about 30 seconds.
Add the lentils, broth, and bay leaf to the pan and stir. (Optional: At this point I stirred in scant 1/2 teaspoon of liquid smoke in place of bacon.) Bring to a boil, and then reduce the heat to low. Simmer, partially covered, for 20 to 30 minutes until the lentils are soft (exact cooking time will depend on the type of lentils). Taste and add salt and pepper as needed. If using the bacon, stir it into the soup, or sprinkle it right on top of each bowl.
Whisk together the yogurt, lemon zest, and lemon juice. Add a dollop of the yogurt sauce to each bowl as you serve and garnish the top with parsley.