Cut meat from bones and coarsely chop it. In a large saucepan over medium-high heat, combine barbecue sauce, pineapple preserves and chili powder.
Add chicken and cook, stirring, until just simmering and heated through, about 5 minutes.
Warm bread in toaster until just lightly toasted.
Remove chicken from heat.
Place 8 slices of bread on a work surface; top each with a lettuce leaf. Spoon some chicken on top. Top with bread and remaining lettuce and chicken. Top with final slice of bread. Secure sandwiches with toothpicks and slice in half.