Heat the oven to 220C/425F. Rub a 23 x 33 cm / 9 x 13-inch baking dish with a little olive oil.
If the anchovies aren't already cleaned, pull off the head, slit the belly, and pull out the spine and guts in one motion. Rinse under cold water and pat completely dry with paper towels.
Butterfly each anchovy open like a book, skin side down, so the two fillets stay joined at the tail.
In a mixing bowl, combine the breadcrumbs, garlic, oregano, parsley, salt, and pepper. Drizzle in 3 tablespoons of the olive oil and toss with your fingers until the crumbs look damp and clump loosely, not wet.
Arrange half the anchovies flesh side up in the baking dish in a single layer, tails slightly overlapping.
Scatter half the breadcrumb mixture evenly over the fish, then layer the remaining anchovies on top, flesh side up. Cover with the rest of the breadcrumb mixture.
Drizzle the remaining 2 tablespoons of olive oil over the top and splash on the white wine, if using.
Bake for 10 to 12 minutes, until the crumbs are deep golden and the fish is opaque all the way through and flakes easily with a fork.
Squeeze lemon over the top straight out of the oven and serve warm with the remaining lemon wedges.