Season the chicken thighs generously with salt and pepper. In a non-reactive baking dish large enough to hold all the chicken to marinate, whisk together the vegetable oil, citrus zests and juices, cayenne pepper and the thyme. Add the chicken thighs and turn to coat. Let marinate for at least 30 minutes or up to a couple hours in the refrigerator.
Preheat the grill. Remove the chicken from marinade and let excess drip back into dish. Place chicken on the hot grill, without overcrowding the pieces. Grill until fully cooked through, turning occasionally, about 15 minutes total, depending on how hot your grill is. Serve immediately.