Is this a cross? I thought peppers self pollinated and that didn't happen..

Peppers are self pollinating unless influenced by outside pollinators, such as bees, which carry pollen from one plant to another causing cross pollination.

I can attest year 1 and 2 looked normal.

Additionally, the seeds from the first years cross have a 50-50 chance of producing true or crossed fruit, decreasing with subsequent grow outs that one or the other trait will surface, meaning this can be the first time the crossed trait showed up in the fruit.

Hope this helps neighbor!

Do you think its a jalapeno/cayenne hybrid?

It almost looks that way to me. But, when two peppers cross, it is kind of a crap shoot on what you will wind up with. Typically, they will take on some of the traits of both parents, but sometimes they combine to produce something completely different.

The best way to know what might have caused the cross pollination is to determine what other varieties of peppers were grown in the vicinity of the parent of this plant. If the seed from this plant was taken from a Cayenne and there were Jalapenos grown near it, the I would think it would be safe to assume that you have a Jal/Cayenne cross. If you had Serranos growing nearby, then I would say that is a possibility as well. But there are probably many other peppers that could likely cause that kind of a hybrid.

FYI: While a pepper cross could occur between peppers several hundred feet away (neighbors yard) from each other, the likely hood is small.