Preheat oven to 350ºF
In a bowl, add Coca-Cola, ketchup, Worcestershire and cayenne pepper; whisk until blended and set aside.
Season chicken thighs on one side with salt and pepper; set aside.
In an oven-proof skillet over medium heat, add oil.
When hot, add chicken thighs, seasoned side down, and cook until just browned on both sides, about 4 to 5 minutes. Season the top with salt and pepper before flipping them.
Transfer them to a plate and set them aside.
In the same skillet, add onions and sauté for 2 minutes. Add pressed garlic and sauté for 30 seconds.
Pour in the Coca-Cola sauce and scrape the bottom of the skillet to dislodge any brown bits.
When the sauce just starts simmering, return the chicken thighs to the skillet including any accumulated juices.
Spoon the sauce over to coat the meat, cover and transfer to the preheated oven. Cook for 25 to 30 minutes or until the internal temperature reaches 170ºF.
Remove from the oven and transfer the chicken thighs to a warm plate. Cover with foil to keep them warm.
Bring the sauce to a simmer and add cornstarch mixture; stir until sauce thickens, about 45 seconds.
Return chicken to the skillet, spoon sauce over and heat it through before serving.