Preheat the oven to 200°C/fan 180°C/gas mark 6. Mix together the wine, orange juice and zest, sugar, oil and thyme. Place the chicken, sweet potatoes, fennel, pepper and orange slices on a wide baking tray. Pour over the wine mixture and season.
Place in the oven for 30 minutes, turning halfway through and making sure the wine marinade has become sticky and turned into a glaze. Remove the orange slices if they begin to brown too quickly. Serve immediately.