Pat dry chicken pieces and season all over with kosher salt and pepper.
Heat the olive oil in a cast iron (or oven-safe) skillet over medium-high heat. When hot, add the chicken skin-side down and cook until golden brown, about 5 minutes. Set browned chicken aside on a plate (it doesn't need to be cooked through, as it will finish cooking later).
Reduce the heat to medium. Add the shallots and garlic and cook, stirring, until fragrant, about 1 minute, being careful not to burn.
Add the grainy mustard and Dijon mustard. Stir to combine with shallots and garlic. While whisking, slowly stir in the white wine and bring to a simmer. Let cook, simmering until the white wine has reduced just a bit, about 2 to 3 minutes.
Add the butter and let melt, stirring into the pan sauce. Add the thyme and pour in the coconut milk. Stir until well combined and the sauce comes to a gentle simmer.
Nestle the chicken, skin side up, into the sauce. Transfer into the oven and bake until chicken is cooked through and tender, 35 to 40 minutes.
Remove from the oven, and let rest for 5 minutes to cool slightly and for the sauce to settle. Finish with more fresh thyme.