I watched some videos and read some recipes online and I am sharing to you what I have done at the end. It came out super-tasty and everyone liked it.
First I made the stuffing:
I steamed some frozen chopped spinach and added feta and mozarella cheese (I also sprinkled some ready italian cheese I had which I think contains mainly blue cheese), I added olive oil, lemon juice and salt. (you can also add mushroom or olives)
I coated the chicken thighs with salt, pepper and thyme, patted the top with the stuffing and rolled it, I didn’t have toothpicks so I just put the opening at the bottom after oiling the pan. Then I put it on the stove on high heat for a few minutes just to get some juice out of the chicken.
Then I put it into the oven 30 minutes covered with aluminum foil, then again about 20 minutes without foil. Then if you still have some juice left, you could put it on the stove again for a while.
Then I prepared the sauce:
I heated some oil, added minced onions until yellowish, added some flour and stirred until darkened a little, then added milk. After the sauce came to a boil, I added feta cheese and salt and when thickened poured the sauce over the chicken.