Preheat oven to 375 degrees. Place lemons, cut side up, in a 12-inch ovenproof skillet or a large baking dish. Sprinkle with sugar, then add the water and vanilla seeds and pod. Roast until edges of lemons are golden brown, about 25 minutes. Let cool.
Squeeze the juice and pulp from lemons into a blender. Remove vanilla pod, and add syrup in the skillet to the blender. Puree, then strain through a sieve into a pitcher, pressing to extract liquid and some pulp.
Fill glasses with ice. Pour 3/4 cup lemonade into each glass. Top with 1/4 cup club soda.
Roasting the lemons takes the edge off the acidity.