Most hot sauce involves vinegar, I'm pretty sure vinegar and yeast don't go together.
So yeah you'd have to make a pepper mash. Could possibly boil them in water for hours to soften/liquefy/sterilize them, then drop them in a fermenter with some yeast and see what happens. Couple weeks it'd have a fair amount of alcohol. Might have to add sugar initially though.
To make sauce with it you'd have to puree the mash, mix it with vinegar and bring it to a boil, then bottle. Don't want much of a boil since alcohol evaporates quickly.
It'd be an interesting sauce and something I'd be willing to try. Besides making hot sauce I also brew beer.