Are there places where sheep are not pastured but kept in lots like beef cattle? I live in Spain and one can always see sheep grazing. I don't think it would even be profitable to buy in all the food for sheep and lambs on a typical feed lot.
I will occasionally purchase lamb in the supermarket and have wondered whether it is a guaranteed pastured meat. Also in my supermarket is frozen lamb from New Zealand. Again the same doubts.
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As far as I know or have ever seen, the only place non-grass-fed happens for the life of the lamb, and only sometimes, is US lamb. However, nothing is ever guaranteed. New Zealand lamb may be grass fed and then grain finished sometimes. Personally, I think this is much less bad than US lamb that is fed grain in a pen.
Here in the US, in Massachusetts at least, and with farmer's marktets I can ask what the lambs were fed. And indeed, they are often hay and grain-fed during the winter and grass-fed and grazing otherwise.