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For the sauce, heat half the oil in a pan and sizzle the pancetta for 5 mins, until just starting to crisp. Then add the onion, garlic, thyme, bay and sugar, and cook until the onions are golden. Splash in the vinegar, sizzle for a moment then tip in the tomatoes. Swoosh the wine around the tomato tins to wash out every last bit and tip into the sauce. Season with chilli and a pinch of salt and simmer for 30 mins until rich and thick.
Meanwhile, heat the oven to 200C/180C fan/gas 6. Scoop out the middle of the marrow, leaving a little in the bottom to form a base. Drizzle a baking dish with a little oil, arrange the marrow in the dish and roast for 30 mins.
Spoon the sauce into the middle of each marrow slice, cover with foil and bake for 30 mins. Remove the foil, scatter over the mozzarella and return to the oven for 10 mins until the cheese has melted and the marrow is tender.