Preheat the oven to 350 degrees F. Pat the chicken dry with paper towels and sprinkle all over with the chili powder and some salt and pepper.
Heat a large skillet over medium-high heat and add 2 tablespoons of the butter. Lay the chicken skin-side down in the skillet and cook without moving it until the skin is golden and crispy, about 4 minutes. Flip the chicken and cook until opaque, about 4 minutes more. Transfer the chicken to a baking dish or roasting pan (reserve the skillet), and bake until firm to the touch, about 10 minutes; let rest for 5 minutes before slicing.
While the chicken bakes, thinly slice the celery. Trim and discard the tough stems from the watercress. Rinse, dry and set aside the leaves.
Cut the baguette crosswise into 4 equal pieces; cut each piece in half horizontally for sub-style sandwiches. Add 2 tablespoons butter to the reserved skillet over medium-high heat. Once the butter stops foaming, toast half the bread pieces cut-side down, pressing and moving them to soak up all the butter, about 2 minutes. Transfer to a platter and brush with half the hot sauce. Repeat with the remaining 2 tablespoons butter, bread and hot sauce.
Spread the blue cheese evenly on the bread bottoms. Layer the celery over the cheese. Thinly slice the chicken and place it on the celery. Top with the watercress and finish by smearing the top pieces of bread with the mayonnaise. Press the tops on the sandwiches and serve immediately.