Combine apple cider, apple jelly, lemon juice, Worcestershire sauce, hot sauce, salt, and pepper in a saucepan over medium heat. Cook and stir just until jelly melts, 3 to 5 minutes. Remove from heat and let marinade cool to room temperature, about 10 minutes.
Place chicken thighs and marinade into a 1-gallon plastic zip-top bag and let marinate for at least 1 hour.
Preheat an outdoor grill for medium heat and lightly oil the grate. Remove chicken from the bag and discard marinade.
Grill chicken thighs until no longer pink in the centers, turning frequently being careful not to let chicken burn, 20 to 25 minutes. An instant-read thermometer inserted into the center of a thigh should read at least 165 degrees F (74 degrees C).