Prep the chicken. Whisk the soy sauce, garlic, vinegar, oil, cumin, paprika, oregano and cayenne, if using. Place the chicken thighs in a large bowl and toss in the marinade to coat. Cover and let marinate for 30 minutes to overnight.
Preheat the oven to 425F, line a baking dish with parchment paper. Place the chicken thighs in the prepared dish in an even layer. Bake for 30-35 minutes until cooked through. Broil on high for 2-3 minutes until slightly browned and charred.
Meanwhile make the sauce. Add all the sauce ingredients except the oil and feta to a blender or food processor and blend until smooth. Add in the oil and feta and blend again until incorporated. Refrigerate until ready to serve.
Serve chicken immediately with the sauce and enjoy!
