In a bowl, whisk together the olive oil, lemon juice, dried thyme, and dried dill.
Place the chicken thighs, red pepper, red onion, and kalamata olives in a large resealable bag. Pour in the marinade, seal, and refrigerate for 30 minutes.
Line the bottom of the air fryer with aluminum foil so it covers the base and comes a little up the sides, forming a shallow bowl.
Pour the marinade, vegetables, and chicken onto the foil, arranging the chicken on top of the vegetables.
Cook at 350°F for 25 minutes, or until the chicken reaches an internal temperature of 165°F.
Remove from the air fryer and drain the excess marinade. Plate and top with crumbled feta, chopped parsley, and lemon slices, if using.
Season with salt and pepper to taste and serve warm.