Add oil, lemon juice and zest, orange juice, crushed garlic, rosemary, sea salt, black pepper, chipotle pepper, and cayenne pepper to a large bowl and whisk to incorporate the flavors.
Dip the chicken thighs, one at a time, into the marinade and transfer them to a large gallon-sized bag. Pour any remaining marinade into the bag. Squeeze the air out of the bag, then seal and place in the fridge for at least a few hours to marinate the chicken.
Preheat your Traeger or wood pellet grill to 200 F for 15 minutes. Place the seasoned chicken thighs directly on the grate (skin-side up) and smoke for 20 minutes using super smoke. Retain the remaining marinade for final basting in the last step.
Next, turn up the temperature to 375 F and smoke the chicken for an additional 30 minutes.
Finally, increase the temperature to 400 F. Baste the chicken skin with the remaining marinade and flip the chicken skin-side down. Smoke for 5 minutes, or until the skin is crispy and the chicken's internal temperature reaches 165-180 degrees F.