Prepare the chicken. Blend together Thai chilies with garlic, basil, oregano, salt, pepper, lemon juice, and olive oil until smooth. Pour marinade over chicken, turning to coat. Let sit for 1 hour at room temperature or in the fridge overnight.
Meanwhile, prepare avocado dill yogurt sauce. Cut avocado in half and remove pit. Scoop out flesh and place in blender. Puree avocado with yogurt, lemon juice, and garlic until smooth. Transfer to a bowl and stir in fresh dill and mint. Season with salt and pepper and let sit for 30 minutes.
Make pickled cucumbers. Combine vinegar, boiling water, sugar and salt in a medium bowl, stirring until sugar is dissolved. Add cucumbers and let sit for 30 minutes.
Preheat oven to 425 degrees F.
Skewer chicken with red onion and bell peppers, alternating between chicken and vegetable. Place skewers on baking sheet and roast in oven for 15-20 minutes or until chicken juices run clear.
Remove chicken from oven and transfer skewers to a platter. Serve with avocado dill yogurt sauce and pickled cucumbers.