Place vegetables on a baking dish in a single layer, drizzle with oil and sprinkle with salt and pepper. Toss to coat, then bake for 20-25 minutes until vegetables are tender.
Meanwhile, heat 2 tablespoons oil in a large skillet over medium high heat. Sprinkle chicken thighs with salt and pepper, then put in skillet. Cook on each side until nicely browned. Transfer to a cutting board and allow to cool slightly then shred using two forks.
While chicken and vegetables are cooking, make the sauce. Combine yogurt, chili powder, paprika and lemon juice in a small bowl and whisk together to make the chili mayo sauce. Taste and adjust seasoning.
Assemble tortillas with a little bit of vegetables, chicken, avocado and feta. Top with chili mayo and cilantro.