Place the chicken thighs between two sheets of heavy plastic (resealable freezer bags work well) on a solid, level surface. Firmly pound the chicken with the smooth side of a meat mallet to a thickness of 1 cm.
Whisk together the teriyaki sauce and chilli sauce in a bowl and pour into a resealable plastic bag. Add the chicken, coat with the marinade, squeeze out excess air and seal the bag. Marinate in the refrigerator for 18 to 24 hours.
Preheat an oven to 180 degrees C. Grease a baking dish.
Remove the chicken from the marinade and shake off excess. Discard the remaining marinade. Lay each chicken thigh flat then layer a slice of ham on each thigh followed by the mozzarella. Roll up each chicken thigh around the mozzarella and ham and secure each roll with a toothpick. Repeat with the remaining chicken.
Spray each bundle with cooking spray. Pour panko flakes onto a dish then roll the bundles into the crumbs and place on prepared baking dish. Lightly spray the bundles once more.
Bake the chicken bundles until no longer pink in the centre and the juices run clear, 35 to 40 minutes.