Make the marinade: In a mixing bowl combine the yogurt or buttermilk, 1/4 cup canola oil, lemon juice, chopped rosemary, smashed garlic, lemon zest, 3/4 teaspoon cayenne, and 1 teaspoon kosher salt until evenly mixed.
Add the chicken thighs to the marinade, turn to coat, cover, and refrigerate for at least 2 hours and up to 6 hours.
When ready to cook, preheat the oven to 425°F and position a rack in the upper third. Line a rimmed baking sheet with foil and nest a cooling rack on it.
Combine the coating: In a shallow bowl mix the cornmeal, crushed cornflakes, grated Pecorino, 1/4 cup canola oil, 1 tablespoon kosher salt, 1/2 teaspoon black pepper, and 1/4 teaspoon cayenne until uniform.
Beat the 3 eggs in a separate shallow bowl until smooth.
Coat the chicken: Remove a piece from the marinade and let excess drip off. Dip it into the beaten eggs, then press into the cornmeal mixture to coat thoroughly. Place the coated piece on the prepared rack. Repeat with remaining pieces.
Let the coated chicken rest on the rack for 15 minutes to help the coating adhere.
Bake the chicken on the upper rack until the coating is golden and crispy and the chicken's internal temperature reaches 160°F, about 40–45 minutes.
Let the chicken rest a few minutes before serving; the carryover will bring the internal temperature to a safe level.