Mix all of the ingredients for the marinade together with the chicken thighs, let this marinade for at least 8 hours in the refrigerator, best if left overnight.
Roasted Jalapeno Cilantro Sauce
Broil the jalapenos on a sheet tray lined with tin foil, keep an eye on them and rotate once one side is blackened. Continue until the peppers are evenly black, place into a bowl and cover with a lid of plastic wrap. As they cool they are also steaming allowing for their skins to be easily removed. Remove all of the black skin from the peppers and scrap out their seeds.
Place all of the ingredients for the sauce into a food processor and blend till smooth. Taste and adjust seasoning if necessary, chill until ready to assemble.
Pickled Red Onion
Mix everything together minus the red onions, stir to dissolve the sugar and salt. Add the sliced onions and toss to coat, allow to sit for at least 1 hour before assembly sandwiches.
Grill the chicken over hot coals or under a broiler until it reaches an internal temperature of 160F and has crispy dark edges.
Slice open your rolls, slather both sides with sauce and layer with chicken, avocado slices, pickled red onion and romaine lettuce.