Preheat an oven. Place fennel seeds, mustard seeds, and coriander seeds in a small skillet over medium heat. Cook, until the spices are fragrant. Transfer to a mortar, then grind finely with a pestle.
Pat the chicken thighs dry with paper towels, then place in a large bowl. Sprinkle the toasted, ground spices on top, along with lemon zest, Kosher salt, and black pepper.
Heat oil in a large oven-safe skillet over medium-high heat. When hot, add chicken thighs, skin-side down, and cook until the skin is golden brown and releases easily from the pan. Use tongs or a fish spatula to flip each chicken thigh, then cook. Transfer the chicken thighs to a plate.
Add another tablespoon of oil, if needed, then add thinly sliced shallots, fennel, and garlic. Season with remaining Kosher salt, then cook over medium-high heat, stirring occasionally. Nestle the chicken thighs into the pan skin-side up.
Transfer to a preheated oven and cook until the chicken has reached an internal temperature of 165F and the skin is crispy. Serve with a pinch of flaky sea salt, lemon wedges, and chopped fresh parsley.