For the marinade, in a small bowl, combine the yogurt, garlic, ginger, cumin, coriander, cayenne, and salt. Put the chicken in a gallon-size resealable plastic bag, add the marinade, seal the bag, and gently shake to coat the chicken well. Refrigerate for at least 2 hours or up to 24 hours.
For the curry, remove the chicken thighs from the marinade, discard the remainder of the marinade, and pat each thing dry with paper towels.
In a 12-inch nonstick skillet set over medium-high heat, heat 2 teaspoons of the oil. Add the chicken thighs and cook, undisturbed, until browned on one side, 4 to 6 minutes. Flip the thighs and cook until cooked through, 4 to 5 more minutes. Transfer the thighs to a plate and tent with aluminum foil to keep warm.
In the same skillet set over medium heat, heat the remaining 2 teaspoons of the oil. Add the onion and cook, stirring frequently, until lightly golden and beginning to soften, about 4 minutes.
Add the garlic, ginger, jalapeño, cumin, curry powder, and coriander, and cook, stirring constantly, until it becomes a thick, fragrant paste, about 2 minutes.
Add the tomato sauce and salt and cook until the mixture comes to a simmer. Stir in the yogurt and cilantro and cook, stirring frequently, until the yogurt is warm, about 3 minutes.
Return the chicken thighs to the pan, turn them to coat them in the sauce, and cook until hot, 5 minutes. Serve hot.