Season the chicken thighs with salt and pepper. Fry the chicken in the oil over a medium heat until browned. Set aside on paper towels.
Preheat oven to 180 degrees C.
In a small saucepan bring the wine and stock to boil, then turn down the heat and simmer for 5 minutes or until reduced slightly. Add the cream, pesto and crumble the blue cheese into the saucepan. Simmer for a further 5 minutes. Mix the cornflour and boiling water to smooth paste and whisk into the sauce. Simmer until sauce thickens. Season with salt and pepper.
Place the chicken thighs in a shallow baking dish. Pour the pesto and cheese sauce over the chicken. Cover with foil and bake in the pre-heated oven for 30 minutes. Remove the foil and bake for a further 10 minutes or until cooked.