Generously season chicken thighs on one side with salt, pepper, and paprika; set aside.
In an oven-proof skillet, add oil and place sausage with casings on. Turn the heat on medium-low and cook until brown on all sides, about 4 to 5 minutes (won’t be fully cooked). Transfer to cutting board and allow to cool before cutting the links into 1 ½-inch pieces.
Return skillet and about 2 tbsp. fat from sausages on the stove and increase heat to medium (add more oil if needed). When hot, working in batches, add chicken thighs, seasoned side down. Generously season the top with salt, pepper, and paprika.
Cook until brown, about 2 to 3 minutes per side. Transfer to a plate while working with the remaining ones.
Add onion slices and bell peppers; season with salt. Sauté for 3 minutes until start to soften, scraping the bottom of the pan to dislodge brown bits. Add garlic and quickly sauté for 30 seconds.
Add hot banana peppers and stir to blend before pouring in white wine and pickling juice. Stir well while deglazing the skillet to remove brown bits.
Bring to a simmer and cook for 5 minutes.
Preheat oven to 375ºF.
Add Italian seasoning and chicken broth; mix to blend. Return chicken, including any accumulated juices, and sausage pieces to the skillet. Carefully mix all the ingredients.
Transfer skillet to preheated oven and bake for 20 minutes or until chicken thighs’ internal temperature reaches 165ºF and the sausage pieces are warmed through.
Remove from the heat and let it rest for 5 minutes before sprinkling on some fresh chopped parsley.