Trim the skin on the chicken thighs and set aside. For the mash, heat the milk and saffron in a small saucepan to just below boiling, then remove from the heat and set aside to infuse. Heat the oven to 180C/160C fan/gas 4.
Heat the olive oil in a shallow 30cm casserole over a medium heat, fry the chorizo for 2 mins, then transfer to a dish using a slotted spoon. Fry the onions and peppers in the pan until starting to soften, about 10 mins. Add the garlic, cook for 2 mins more, then tip into the dish with the chorizo.
Return the pan to a medium heat with any residual oil, then brown the chicken thighs on both sides. Season. If there’s a lot of oil in the pan, pour away all but 1 tbsp. Add the rioja, scraping the bottom of the pan to release any sticky bits, then add the stock, bay and thyme.
Add the chorizo and veg. Bring to a simmer, then transfer to the oven, uncovered. Cook for 35-40 mins, adding some water if the liquid starts to reduce too quickly.
Meanwhile, make the mash. Cover the potatoes in lightly salted cold water, bring to the boil, and cook for 15 mins until tender. Drain, return to the pan, and leave for 5 mins to steam-dry. Mash the potatoes with the infused milk and butter. Beat in the olive oil and some seasoning. When the chicken is cooked through, season, scatter with thyme leaves and serve with the mash.