Preheat the oven to 300 degrees F (150 degrees C).
Whisk ketchup, water, vinegar, melted butter, onion, paprika, sugar, Worcestershire sauce, mustard, salt, pepper, and steak sauce together in a saucepan. Bring to a simmer; cook for 5 minutes, stirring occasionally.
Spread chicken thighs in a single layer in a baking dish. Pour sauce over chicken thighs.
Bake in the preheated oven until sauce is bubbling and chicken is no longer pink in the center and the juices run clear, about 2 hours. An instant-read thermometer inserted into the thickest part of a thigh should read at least 165 degrees F (74 degrees C).