Pictures and location would be helpful but I'm just going to take a shot in the dark and say sunscald.

Sorry I'm in zone 4a. I don't any pictures at the moment.

Yup, pictures if possible please. Some years I get the same or similar problem and discovered it was an entry point of a wire worm, which was inside the pepper. They only bored into the bells and never the hot peppers.

Cut one open and inspect.

I had something attempt to bore into my hot peppers, but nothing inside. Guess they didn't like the taste!

Here are some pictures of the outside of some peppers and when I cut them open.

Please let me know if you know what this is!

Thanks!

Another picture...

The inside...

It looks moldy on the inside.

Looks like sunscald probably followed by a fungus. I know you say you have dense foliage, but are any of the peppers leaning maybe from the weight of the fruit or the wind? It doesn't take very long or much direct sunlight to sunscald a pepper. You might want to stake any peppers that are leaning to prevent it from happening to more peppers.