Heat oil in a small nonstick skillet over medium-high heat. Add paprika, 1 1/2 teaspoons cumin, 1 1/2 teaspoons coriander, garam masala, turmeric, and red pepper to pan; cook 2 minutes or until fragrant, stirring constantly. Remove from pan; cool.
Place onion and next 3 ingredients in a food processor; process until smooth. Add spice mixture, 1/2 cup yogurt, 2 tablespoons juice, and 1 3/4 teaspoons salt to onion mixture; process until smooth. Transfer mixture to a large heavy-duty zip-top plastic bag. Cut 3 shallow slits in each chicken thigh. Add chicken to bag, and seal. Toss to coat. Marinate in refrigerator 8 hours or overnight, turning occasionally.
Preheat grill to medium-high heat.
Combine remaining 2 cups yogurt, remaining 2 tablespoons juice, remaining 1/2 teaspoon cumin, remaining 1/2 teaspoon coriander, and remaining 1/4 teaspoon salt in a bowl, stirring well. Cover and chill.
Remove chicken from bag; discard marinade. Place chicken on grill rack coated with cooking spray. Grill 7 minutes on each side or until done. Serve with yogurt mixture.