Whiz preserved lemon, anchovy, garlic, oil, marjoram and mustard in a food processor until smooth. Transfer to a bowl. Add goat and turn to coat. Chill for at least 1 hour.
Preheat a barbecue with a lid to high Place wood chips in a smoke box or foil tray (if using a tray, cover with foil and make holes in the top). Place on grill and close lid. Leave for 10 minutes or until smoking.
Brush marinade off the goat, reserving excess. Reduce barbecue to medium, shift smoke box or tray to one side of grill and add goat. Close lid and cook, turning halfway, for 50 minutes or until charred.
Preheat oven to 160°C. Place goat in the centre of 2 large sheets of foil. Brush with reserved marinade and bring foil together, adding the wine and 100ml water before enclosing fully. Place on a baking tray and roast for 3 hours or until tender.
Preheat the barbecue to high. Grill lemon and jalapenos for 3-4 minutes until slightly blackened.
Serve goat with lemons and jalapenos and scatter with chopped parsley.