Mix all the ingredients for the marinade together. Smother all over the chicken thighs and leave to marinate for at least 2 hours, preferably overnight.
Heat a grill or ridged griddle pan until very hot. Grill the chicken for about 3-4 minutes each side, until cooked through.
Spread the buns with the BBQ sauce and add the coleslaw and avocado. Top with the chicken and finish with the cilantro. Close the buns and serve hot.