Season chicken fillets with salt and pepper. Heat fat or oil in a pan over medium-high heat. Fry fillets for 3-4 minutes per side until lightly browned. Transfer to a plate and let cool for 5 minutes.
Using a sharp knife, cut a horizontal pocket into the side of each fillet, being careful not to cut all the way through.
Divide the feta cheese roughly in half. Slice one portion thinly for filling. Place fillets in a greased baking dish. Stuff each pocket with thinly sliced feta cheese. Top each fillet with medium-thick slices of the remaining feta cheese. Sprinkle lightly with paprika powder if desired.
Bake in a preheated oven at 150°C (302°F) for 45 minutes until the cheese is melted and the chicken reaches 74°C (165°F) internal temperature. The edges of the cheese may brown slightly.
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