Preheat oven to 450F/220C. Heat olive oil in a medium pan and cook the onion until tender over low heat for 5 minutes, add mushrooms, thyme leaves, a pinch of salt and pepper and continue cooking for 10 minutes.
Put cooked mushrooms and onions in a food processor or blender and process until it's the same consistency as olive tapenade. Cool for 10 minutes. Mix mushroom and onion mixture with goat cheese.
Lay out the chicken thighs flat on a cutting board smooth side down and spread 1 tbsp of mushroom and goat cheese mixture on each thigh and then wrap it tightly. Wrap two bacon strips around each chicken thigh and transfer it on baking pan seam side down.
Bake in the oven for 35 minutes, then turn the oven to broil/grill and broil for 2 more minutes until bacon is crispy.