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Begin by placing halved green bell peppers into a pot of water, just enough to cover them. Boil peppers just until the skin color begins to change to a paler green and they become very slightly tender (about 2 to 3 minutes); immediately remove from heat and place peppers in cold water to halt the cooking process.
Preheat a grill.
Meanwhile, saute octopus in a little bit of oil over medium-high heat just until cooked through, about 1 to 2 minutes. Mix in tomatoes, and chopped green, yellow, and orange peppers, and chili powder. Simmer for approximately 5 to 10 minutes or until mixture becomes slightly tender. Stuff bell pepper halves with octopus mixture and place in a baking dish. Place the baking dish on the grill. Close the cover and cook for 10 to 15 minutes. Serve immediately.