Preheat the oven to 375 degrees F (190 degrees C).
In an oven-safe skillet, heat Extra-Virgin Olive Oil (2 tablespoon) over medium-high heat.
Pat the Bone-in, Skin-on Chicken Thigh (2) dry with a paper towel and season both sides with Salt (to taste), Freshly Ground Black Pepper (to taste), Italian Seasoning (1 teaspoon), and Cayenne Pepper (1 teaspoon). Cook for 3-4 minutes per side, until the skin becomes crispy and browned.
Remove the chicken from the skillet and set aside on a plate.
Add the remaining Extra-Virgin Olive Oil (1 tablespoon). Add Garlic (2 clove) to the same skillet and sauté for 1 minute.
Stir in the Whipping Cream (1/2 cup), Chicken Broth (1/4 cup), Grated Parmesan Cheese (1/2 cup), juice from the Lemon (1/2), and Dried Parsley (1 teaspoon). Let the sauce come to a boil while stirring, then quickly reduce the heat to low. Simmer for 3 minutes.
Nestle the chicken back into the sauce. Place the skillet in the oven for 30 minutes, or until the center of the chicken reaches 165 degrees F (74 degrees C) and its juices run clear.