Heat oven to 400°F, with a rack centered. Coat a medium roasting pan with the cooking spray; set aside.
In a large bowl, combine yogurt, oregano, chili powder, and salt and pepper. Add chicken; toss to coat. Transfer chicken to the prepared pan. Roast 20-25 minutes. Rotate pan and shift chicken pieces. Scatter on halved chilies. Continue cooking until chicken is dark-golden and shiny (20-30 minutes).
Transfer chicken and chilies to serving platter. Place roasting pan over high heat. Add coffee and 1/2 cup water. Stir with a wooden spoon, scraping up the flavorful crispy bits. Let the liquid boil and reduce for about 5 minutes. Serve this spicy gravy with the chicken.
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