Place chicken pieces between sheets of waxed paper and flatten slightly. Dip chicken pieces in milk, then coat with bread crumbs. Combine sliced peppers, onion, mushrooms and Marsala in mixing bowl. Toss to coat with wine. In large skillet, heat oil over medium high heat. Saute chicken breasts for 2 minutes on each side.
Preheat oven to 375 degrees. Lay out 4 sheets of parchment paper (18 x 15") and fold each in half. Evenly divide one half of the pepper mixture among the four pieces of paper. Place chicken breast on top of mixture. Evenly divide remaining pepper mixture over chicken breasts. Add 3 lemon slices to the top of each chicken breast. Fold sides of parchment into 1/4" fan-fold, then seal the top in 1/2" folds so that the packet is slightly larger than its contents. Place the packets on a baking sheet and bake for 30 minutes. 4 servings.