Not sure what the brix is on peppers, but my guess is at most it would lower your OG by a point. Probably even less than that. Regardless, its effect would be too small to he concerned about, IMO.
I think this is true of any vegetable or fruit - even sweet fruit like berries. They add sugar and also volume (from water in the fruit) and so the affect is often small and usually a slight reduction in gravity, never an increase.