Preheat oven to 350 degrees F. Lightly coat a rimmed baking sheet with the olive oil and set aside.
Slice pepper in half lengthwise and carefully remove the seeds keeping the stems intact.
Mix the sausage, Parmesan cheese, egg a pinch of salt and a few grinds of black pepper together in a medium bowl until thoroughly combined. Stuff each pepper with the sausage mixture, lightly packing it in and mounding it if needed. Place the stuffed peppers on prepared sheet pan and sprinkle each pepper with some mozzarella. Bake until peppers are soft and cheese is lightly browned, about 30 minutes. Serve on a warmed platter.
Mini bell peppers can be found in packages of 12 to 20 peppers in the produce section of most grocery stores. If your market doesn't carry bulk raw Italian sausage meat, purchase uncooked Italian sausage links, snip a hole in the casing at one end, and squeeze out the sausage meat.
A viewer or guest of the show, who may not be a professional cook, provided this recipe. It has not been tested for home use.