Preheat oven to 400°F.
Lightly pound the chicken thighs and season on both sides with salt and pepper. Set boned-side up on work surface. Combine the thyme, garlic, lemon zest and 2 tablespoons olive oil. Spread mixture over the chicken, top with a large leaf of sage and roll the thighs up. Secure thighs with a string or toothpick.
Heat an ovenproof or cast-iron skillet over medium-high to high heat with olive oil, 2 turns of the pan. Render bacon until crisp 3 minutes; remove to a plate. Brown chicken in pan drippings on both sides, 5-6 minutes. Add wine and reduce 30 seconds; add stock and transfer pan to oven for 5-6 minutes more to cook through. Remove chicken to platter, douse pan with lemon juice and swirl in butter to finish sauce.
For the salad, combine shallots, garlic, lemon juice, vinegar, salt and pepeper in a mixing bowl. Whisk in olive oil, add Brussels sprouts and toss to combine; add nutmeg to taste and cheese. Top slaw with bacon bits.
Serve 2 chicken thighs per person topped with sauce with salad alongside.