Whisk ketchup, water, vinegar, butter, onion, paprika, sugar, Worcestershire sauce, mustard, salt, pepper, and steak sauce together in a saucepan. Bring to a simmer; cook 5 minutes, stirring occasionally, for flavors to blend.
Spread chicken thighs in a single layer in a baking dish. Pour sauce over chicken thighs.
Bake chicken in the preheated oven until thighs are cooked through and sauce is bubbling, about 2 hours. An instant-read meat thermometer inserted into the thickest part of a thigh should read at least 165 degrees F (74 degrees C).
