In a large bowl, combine the yogurt, tandoori masala, lemon juice, garlic paste, ginger paste, turmeric powder, cumin powder, and salt. Mix well to create a marinade.
Add the chicken thighs to the marinade, ensuring they're fully coated. Cover with plastic wrap and marinate in the refrigerator for at least 1 hour (or overnight for best flavor).
Preheat your oven to 400°F (200°C).
On a large sheet pan, spread the sliced bell peppers and onion in a single layer. Drizzle with olive oil, and season with salt and pepper.
Place the marinated chicken thighs on top of the vegetables on the sheet pan, skin-side up. Reserve excess marinade.
Bake in the preheated oven for about 35-40 minutes, or until the chicken reaches an internal temperature of 165°F (75°C) and the skin is nicely browned and crispy.
During the last 5-10 minutes of cooking, brush any reserved marinade over the chicken for extra flavor.
Once cooked, remove from the oven and let it rest for a few minutes before garnishing with fresh cilantro and serving with lemon wedges.