Carefully peel the chicken thighs off of the bone so that the skin remains intact. Stir together the milk, olive oil, cumin, garlic powder, salt & pepper in a large mixing bowl, then place the chicken inside the bowl, making sure the majority of it is submerged. Cover the mixing bowl with plastic wrap, transfer it to the refrigerator, and let the chicken marinate for 2–3 hours, preferably overnight.
Heat the butter in a large saucepan and sweat the diced onion in it until they become translucent. Add in the arborio rice and sauté it briefly. Deglaze the saucepan with the white wine and let it reduce. Pour in 1/2 of the chicken broth, put the lid on, and let everything simmer gently for 15 minutes, making sure to stir the rice occasionally. Pour in the rest of the chicken broth and let it all simmer for another 10 minutes until all of the liquid has been absorbed, then stir in the grated parmesan and Swiss cheese. Season the risotto with the chopped parsley, chopped chives, salt & pepper.
Preheat the oven to 350°F.
Line a small bowl with 1 piece of the marinated chicken, making sure the piece of chicken is larger than the bowl, and fill it up with risotto. Flip the excess chicken over on top of the risotto to seal it in, creating a small chicken pocket.
Flip the bowl filled with the chicken pocket over into a casserole dish, making sure the ends of the chicken are tucked underneath it. Repeat this same process 3 more times for a total of 4 chicken pockets.
Stir the chopped broccoli and carrots together in a large mixing bowl with some olive oil, salt, and pepper, then add the vegetables to the casserole dish in the spaces between the chicken pockets.
Stir together the tomato paste, olive oil, water, chili powder, salt, and pepper. Use a basting brush to brush it generously over the surface of the chicken.
Cover the casserole dish with aluminum foil, transfer it to the oven, and bake the chicken pockets at 350°F for 50 minutes. Remove the aluminum foil, turn the oven up to 400°F, and continue to bake everything for another 10 minutes, until golden brown.