They are not being pollinated. Either hand pollinate by touching one flower then another then another or, more long term, encourage beneficial insects by planting flowers and other plants that encourage them.

It's way way too hot for them, more likely than not. There's nothing you can do about that except wait for the monsoons & fall. What kind of pepper are you trying to grow?

Right now, only my Serrano that lives in the shade has set anything since it got over 105. I studiously go around hand-pollinating the flowers but because the temps are so high the flowers are cooked regardless of what I do. Maybe 1 in 20 flowers set a pod while the temps are high. Summer here is basically our "winter" and your focus should be on getting your plants to not turn into brown sticks. Peppers go nuts getting pods in October when we finally hit their ideal temperature ranges. Until then, focus on getting them to grow bigger so when it's time to set pods, they're ready to set as many as possible.