Heat a grill pan over medium heat and add a tablespoon of olive oil. Once the oil is heated, add the red bell peppers and onions. Cook until nice char marks are formed, about 4-5 minutes.
Allow the peppers and onions to cool down, then transfer them to a food processor.
To the food processor, add thai chilis, garlic cloves, the remaining olive oil, vinegar, lemon juice, paprika, oregano, salt, and pepper. Blend until pureed and no chunks remain.
Transfer the pureed mixture to a saucepan and simmer the sauce for 10-12 minutes. Once done, allow the sauce to cool down.
Pour the prepared peri-peri sauce over the chicken and massage it in well. Allow the chicken to marinate for at least 1 hour.
Arrange the marinated chicken on the griddle, grill pan, or outdoor grill, and cook for 7-8 minutes, or until the chicken is cooked through and has grill marks.
Once done, transfer the chicken to a serving plate, garnish with parsley, and serve with a wedge of lemon on the side.