Yep. Not as uncommon as one might think. I just write them off as mutations.

Actually, Habs tend to do this a lot. It's perfectly normal (and kinda cool)

I have seen it before several times. I didn't really realize it was a pepper inside a pepper, I just thought it was some kind of abnormal growth.

PS: It must be nice to be harvesting Peppers in May.

I have seen it most in bell peppers. Though I have seen it in some others. It has happened the most for me in sweet peppers. The one inside tends to be super sweet.