In a skillet, heat the olive oil over medium heat. Add the chopped onions and minced garlic, sauté until translucent (about 3-4 minutes).
Add the finely chopped mushrooms to the skillet and cook for another 5 minutes until they release their moisture. Remove from heat and let cool slightly.
In a large mixing bowl, combine the ground chicken, breadcrumbs, Parmesan cheese, parsley, cooled mushroom mixture, salt, pepper, thyme, smoked paprika, and lemon zest. Mix until just combined, being careful not to overwork the meat.
Preheat the oven to 400°F (200°C).
Form the chicken mixture into meatballs, about 1.5 inches in diameter, and place them on a baking sheet lined with parchment paper. Bake for 20-25 minutes, or until the meatballs are cooked through and slightly golden.
While the meatballs are baking, prepare the creamy sauce. In a medium saucepan over medium heat, combine the chicken broth and heavy cream. Whisk and bring to a gentle simmer, stirring occasionally.
Season the sauce with salt and pepper to taste, and let it thicken slightly (about 5 minutes).
Once the meatballs are done baking, remove them from the oven and gently add them to the saucepan with the creamy sauce. Let them simmer together for 3-4 minutes to soak up the flavors.
Serve the meatballs warm, drizzled with creamy sauce over a bed of pasta, rice, or on their own with a side salad.