Easy, spicy, crispy oven-fried chicken sliders are everything that you want from a fried chicken sandwich but without all the mess from the fryer and great for a party. Inspired by the movie "Lady Bird."
Whisk mayonnaise, hot sauce, onion, garlic, paprika, and jalapeños together in a medium bowl; set aside until ready to use.
Place a rack in middle of oven; preheat to 450°. Cut each chicken thigh in half crosswise; you should have 12 equal pieces. Whisk egg, honey and 1/4 cup spicy mayonnaise and 1 1/2 teaspoons salt, in a large bowl until completely combined. Reserve remaining spicy mayonnaise for the rolls. Toss chicken in the egg mixture until all pieces are coated and let sit uncovered at room temperature while you toast the bread crumbs.
Meanwhile, heat oil in a large skillet over medium-high heat. As soon as you see small wisps of smoke from the oil, add panko and 1/4 teaspoons salt and toss to coat. Cook, tossing often, until golden brown, 6–8 minutes. Let cool in pan 10 minutes.
Place a wire rack inside a rimmed baking sheet. Lift chicken from bowl, letting excess egg mixture drip back into bowl. Coat in toasted panko, pressing to adhere, then transfer to rack, spacing evenly apart. Repeat with remaining chicken and panko.
Bake chicken until cooked through, juices run clear when thighs are pierced with a knife, and panko mixture is slightly darkened in color, 15–20 minutes. Let chicken cool 10 minutes.
Liberally spread remaining seasoned mayonnaise over cut/toasted sides of buns. Build sandwiches with pickles, fried chicken, shredded lettuce, and more hot sauce, if desired.
Do ahead: spicy mayonnaise can be made 3 days ahead, cover and chill.