Trim any excess fat from the chicken thighs. Place them between two sheets of parchment or plastic wrap and gently pound to an even thickness, about ½ inch. Season lightly with salt and pepper.
Set up a breading station with three shallow bowls. Add the gluten-free flour to the first bowl, season with a pinch of salt and pepper. In the second bowl, whisk together the eggs and milk with a small pinch of salt and pepper. In the third bowl, combine the gluten-free corn flakes, garlic powder, smoked paprika, and another pinch of both salt, and pepper.
Dredge each thigh in the flour, then dip into the egg mixture, and finally coat thoroughly with the corn flake mixture, pressing gently so the coating sticks.
Preheat the air fryer to 400°F. Lightly spray the basket with oil. Place the breaded chicken thighs in a single layer, working in batches if necessary. Lightly spray the tops with oil.
Air-fry for 10 minutes, flip, spray lightly again, and cook for another 5 to 7 minutes, until the chicken is crispy, golden, and cooked through with an internal temperature of 165°F.
Brush the tops of the hot chicken thighs generously with Terrapin Ridge Red Pepper Jelly. Place two slices of cheese on each piece.
Return the chicken to the air fryer for 1 to 2 minutes, just until the cheese is fully melted, bubbly, and gooey.
Spread some more sTerrapin Ridge Red Pepper Jelly on the bottom and top of each bun. Place one cheesy, jelly-glazed chicken thigh on each bottom bun. Add pickled jalapenos and shredded lettuce then top with the remaining bun halves.