Place a large skillet over medium/medium-high heat. Unroll the chicken thighs so that they lay flat. In a small bowl, stir together the chili powder, smoked paprika, cayenne pepper, and cumin. Scatter over the chicken and season with salt and pepper. Add the oil to the pan along with the chicken and cook until deeply golden and cooked through, about 6 to 8 minutes per side. Remove the chicken from the pan, loosely tent with aluminum foil, and set aside to rest while you prepare the corn.
Turn the heat under the pan down to medium and add in the butter, shallots, and corn. Season with salt and pepper and cook, stirring frequently, for 2 to 3 minutes. Add in the garlic and continue to cook for 30 seconds. Scatter over the flour and stir to combine. Cook for 1 minute to lightly toast the flour then pour in the cream and milk. Season with some sugar, salt, and pepper and simmer for 4 to 5 minutes to thicken slightly.
Stir through ½ cup of feta cheese along with the chives or green onions and nestle in the chicken. Scatter with the remaining feta and serve.
