Instructions

Set an oven rack about 6 inches from the heat source and preheat the oven's broiler. Line a baking sheet with parchment paper.
Place bell peppers, cut-side down, on the prepared baking sheet.
Place in the preheated oven and broil, watching carefully, until the skins begin to bubble and turn dark brown, about 3 minutes. Remove and place browned peppers in a bowl. Cover with aluminum foil and set aside to cool. Leave the broiler on.
Meanwhile, whisk together eggs, hot pepper sauce, salt, and pepper in a bowl.
Brown chorizo in a large nonstick skillet over medium heat, breaking up any large pieces as you go, about 4 minutes. Add egg mixture to the skillet and cook until eggs have set, about 2 minutes. Remove from heat and stir in drained pico de gallo.
Remove as much skin as possible from the cooled pepper halves, and place each half on top of one of the cups of a 6-cup muffin pan. Fill each pepper with chorizo-egg mixture and sprinkle with Cheddar cheese.
Place in the oven and broil until cheese melts, about 1 minute. Serve immediately.