Pat chicken thighs dry and coat evenly with 1 tablespoon of olive oil. Rub Cajun seasoning thoroughly over each piece for full, bold flavor.
Cut bell peppers, zucchini, and red onion into uniform pieces. Toss vegetables with remaining 1 tablespoon oil and a pinch of Cajun seasoning to complement the chicken.
Preheat air fryer to 400°F (200°C) for 3-5 minutes for even cooking.
Place chicken thighs in a single layer in the air fryer basket without overcrowding. Cook for 10-12 minutes, flipping halfway, until internal temperature reaches 165°F (74°C) and chicken is crispy outside.
Add the seasoned vegetables around the chicken or separately depending on basket size. Cook an additional 8-10 minutes, shaking the basket halfway through, until vegetables are tender and charred on edges.
Remove from air fryer and let chicken rest a few minutes. Serve chicken and veggies with fresh lemon wedges to brighten flavors.