Heat oven to 400° F. Heat oil in a large cast-iron skillet over medium-high heat. Season chicken with salt and pepper. Cook chicken, skin-side down, for 3 minutes; turn and cook for 2 minutes. Remove chicken to a plate.
Add onion, fennel and chorizo to skillet; cook for 5 minutes. Stir in rice, broth and pigeon peas. Arrange chicken thighs, skin-side up, on top of rice mixture. Roast at 400° F for 20 minutes or until chicken reaches 165° F.
To serve, garnish with chopped cilantro, if desired.