Trim loose skin from chicken thighs. Peel and mash bananas with a fork, adding coconut cream, chili powder, lime juice, zest, salt and pepper.
In a frying pan, heat oil and fry onion and pepper until soft. Add chicken, skin side down and fry until golden.
Arrange chicken and vegetables in a baking dish, then add rum to frying pan and stir to combine juices and any sediment. Pour liquid over thighs then add banana and coconut sauce. Cover with foil and bake for 75 minutes. Remove foil the last 30 minutes.