My apologies no it isn't a type of food there, it is naughty in the terms of being indulgent or impulsive and is more of a turn of phrase that is often used in "lad culture" over here, which is sort of like a parallel to a "frat bro" in US culture. Think obnoxious, loud sometimes aggressive groups of guys.

Cheeky in this sense was in the past more often used in terms of alcoholic beverages so often people would use it to say things like "Do you fancy getting a cheeky pint after work". More modern usage it is often used to refer to food as well as drink and in the case of "cheeky nandos" will quite often be used by aforementioned "lads" when they have already had a few drinks and want to go and indulge in some chicken before going out and getting shit faced for the night.

Tldr: It is a turn of phrase used to mean indulging in an impulsive meal from the restaurant chain "Nandos"

Is there some kind of spice level:naughtiness correlation?

A cheeky monkey would be some sort of bum-looker, I reckon.