In a blender, combine the onion, oil, garlic, ginger, pepper, and process on high speed to a paste. Add the paprika, cumin, turmeric, coriander, garam masala, cayenne, salt, pepper, and cinnamon and process until well blended.
Add the yogurt and lemon juice, and process to a smooth sauce, scraping down the sides to combine all the ingredients.
With a fork, prick holes in the chicken pieces. Using a knife, cut diagonal slices 1-inch apart, and 1/2-inch deep into the larger pieces. Place the chicken in a baking dish. Pour the marinade over the chicken. Cover and marinate in the refrigerator for at least 2 hours or overnight.
Preheat oven to 475°F. Bake the chicken until browned and no trace of pink remains in the center, 25 to 35 minutes. Serve hot.