For the chicken thighs: Preheat the oven to 425 degrees F.
Place the chicken thighs in an 8-by-8-inch baking dish. Whisk together the olive oil, chili powder, garlic, orange zest and orange juice in a small bowl. Pour this mixture over the chicken thighs and leave to marinate at room temperature for 20 minutes.
Transfer the baking dish to the oven and roast until the chicken is cooked through, about 20 minutes. You'll need four chicken thighs for the empanadas.
For the empanadas: Preheat the oven to 375 degrees F.
Roughly chop four of the chicken thighs and add to a large mixing bowl. Add the Mexican cheese, jalapeno, bell pepper, cilantro, cream cheese, hot sauce and salt to the bowl. Stir well to combine.
Roll the dough into a 15-inch circle on a lightly floured surface. Cut out rounds using a 2-inch cookie cutter, re-rolling the dough as needed; you should end up with twelve rounds total. Mound 2 tablespoons of the filling onto the center of each round and fold the dough over into a half moon. Crimp the edges with a fork to seal.
Spray a baking sheet with canola spray. Spread out the empanadas, about two inches apart, on the baking sheet. Spray the tops of the empanadas with more canola spray and bake until golden brown, 15 to 20 minutes.
Remove from the oven and let cool for 5 minutes. Serve with tomatillo salsa