I presume these are lemons growing on a small tree in a conservatory, in the UK.
The tree is not growing, or is almost dormant, as it is winter. Therefore the movement of sap is minimal, and the plant is taking up very little water. All it can do now is to ripen the fruit that has already formed.
Only fruit that has already become a good size in the warm growing season will ripen as a fully sized lemon.