Clean and trim fat from chicken. Pat dry with paper towels. Place in a large bowl with Brussels sprouts, wine, sausage, shallots, lemon slices, garlic, oil, rosemary, fennel seeds, thyme, sage, sea salt, and pepper. Toss together with your hands and allow to marinate at room temperature, tossing occasionally, for at least 30 minutes.

Preheat the oven to 475 degrees F (245 degrees C). Spray a baking pan with nonstick spray.

Pour chicken-vegetable mixture onto the prepared baking pan. Arrange thighs, skin-side up, over mixture.

Roast in the preheated oven until thighs are browned, crispy, and no longer pink in the centers, 25 to 30 minutes. An instant-read thermometer inserted near the bone should read 165 degrees F (74 degrees C). Let rest for 5 to 10 minutes before serving.