If this is your new baby lemon tree, what I would do is clip that leaf off and put it in a jar with rubber banded/canning jar ring lid and fabric or paper towel cover. Keep in protected area where you can keep an eye on them and check on them daily. Most insects will hatch in about 1 week.
These are obviously eggs and this way, you will save what hatches out if they are good guys and you can put them back on the lemon to protect from pests (if beneficial insect eggs, then the mom laid eggs on the tree because there are already pests on it for her babies to eat), but you wont leave them on the leaf of they turn out to be bad guys hatching out en mass.
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