Heat oil in a Dutch oven over medium-high heat. Add chicken, chiles, onion, oregano, paprika and salt and cook, stirring, until the onions have softened, 3 to 5 minutes.
Add tomato sauce, tomato, pimientos, olives, capers and water and bring to a boil. Stir in rice; return to a boil. Reduce heat to a simmer and cook, uncovered, until the sauce is thick, the rice is tender and the chicken is cooked through, 35 to 45 minutes.