Could be unripe Cheese...

http://rareseeds.com/cart/products/Red_Cheese_Pepper-539-64.html

http://www.gourmetseed.com/c=HIRlfCkjw6iJjRZhpFccuaSyF/product/PP79/PP79---Pepper-Botinecka-Zuta.html

Could be a cross with bells.
Seeds in the cut open one do not look ripe.(That could just be the picture though.)
Sometimes peppers take a long time to turn red...

Alma Paprika or several similar peppers.
Some are yello,Orange or red.

Here is a link that might be useful: cheese/alma paprika pepper

Thanks. They still have not changed color. They remain the same light yellow color in the pic (both on the plant as well as the picked ones).

Any other ideas?

Looks like a Doe Hill. These get about 2 inches in diameter and one inch thick. If you got your seeds from an heirloom vendor, chances are a seed or two got mixed in with the Melrose. http://www.southernexposure.com/productlist/prods/46126.html

Thanks for all the help I had. I believe this is an Alma Paprika pepper. It tooka while but they eventually turned red. Here is a photo of the peppers in 2 different stages of color.

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