In a zip-top bag, combine the boneless skinless chicken thighs with pickled jalapeño juice. Seal and marinate in the refrigerator for at least 6 hours, or overnight.

In a mixing bowl, whisk mayonnaise, sour cream, jalapeño seasoning, and pickled jalapeño juice until smooth. Adjust consistency with milk or half-and-half if needed and refrigerate.

Remove chicken from the bag, let excess juice drain, and sprinkle Mexican seasoning on both sides.

Preheat griddle to medium-high heat, add cooking oil and let heat until shimmering.

Cook seasoned chicken thighs skin-side down for about 5-7 minutes until crust forms; flip and cook until an internal temperature of 165°F is reached.

While chicken cooks, slice bolillo rolls, butter the cut sides, and toast on the griddle until golden (2-3 minutes).

Just before the chicken finishes, place a slice of pepper jack cheese on each piece, cover to melt cheese (1-2 minutes).

Assemble sandwiches by spreading creamy jalapeno dressing on the bun, adding avocado slices, cheesy chicken, and red onion before topping with the other half.