Preheat oven to 425°F.
Pat the chicken thighs dry with a paper towel and add them to an oven-safe dish, making sure they have space.
Drizzle the chicken with oil, mustard, lemon juice, and season with salt, onion powder, dried dill, paprika, and cayenne. Mix well.
Bake the chicken for 35 minutes, then remove from the oven, spoon over the juices, and bake for another 5 minutes.
Make the sauce by processing the Greek yogurt, mayonnaise, lemon juice, fresh dill, onion powder, and chili pepper. Adjust seasoning to taste.
Serve the chicken with the creamy lemon dill sauce.
