Cut each chicken thigh into 4 to 5 evenly-sized pieces.
Pat them dry with paper towels and set aside.
In a medium bowl, whisk together eggs and heavy cream. Set aside.
In a shallow dish, mix the almond flour, Parmesan cheese, sea salt, black pepper, paprika, and cayenne pepper.
Dip the chicken pieces in the egg mixture, shake off the excess, then press into the almond flour mix. Arrange in a tray and let sit for 10 to 15 minutes until coating has set.
While coating sets, preheat the air fryer to 400°F for 5 minutes. Lightly grease the metal basket and arrange the breaded chicken on it in a single layer, not touching.
Place the basket into the air fryer. Cook the fried chicken in the air fryer for 20 to 25 minutes, turning as needed, or until the chicken is cooked throughout.
Serve with lemon wedges. Sprinkle lemon juice and parsley on the chicken, if you wish