Marinate the Chicken: In a small bowl, mix olive oil, chili powder, paprika, garlic powder, cumin, cayenne (if using), salt, and pepper. Coat the chicken breasts with this spice mixture and let them marinate for at least 30 minutes (or up to 2 hours) to absorb the flavors.
Make the Chipotle Sauce: In a small bowl, combine the mayonnaise, chipotle in adobo sauce, lime juice, and salt. Stir until smooth and well combined. Set aside.
Grill the Chicken: Preheat the grill or grill pan over medium-high heat. Grill the chicken for 5-6 minutes per side or until fully cooked through and the internal temperature reaches 165°F. Remove from the grill and set aside to rest.
Assemble the Sandwiches: Toast the sandwich buns lightly on the grill or in a skillet. Spread a generous amount of chipotle mayo on the bottom half of each bun. Place a grilled chicken breast on each bun, then top with shredded lettuce, tomato slices, and pickled jalapeños (if using).
Serve: Close the sandwich with the top bun and serve immediately. Enjoy the bold, spicy, and creamy flavors of this Southwest Spicy Chicken Sandwich!