Preheat a grill to medium-high. Pat the chicken thighs dry with a paper towel, drizzle with olive oil and sprinkle generously with Cajun seasoning. Place on grill and cook until cooked through, 10 to 15 minutes.
While the chicken is cooking, place the butter in a small saucepan with hot sauce. Stir until the butter melts. When the chicken is cooked through, add to the pan, turning several times to coat.
In a small dish, combine the yogurt, chives, feta and lemon juice.
Split the rolls, place a chicken piece on the bottom half, top with yogurt dressing and shredded lettuce. Place the top half of the roll on top and enjoy.