If you want a plant that grows multiple types of peppers, you should look into grafting. You can make a pepper that grows all the varieties you want. It wont be a true plant, seeds wont regrow the plant, but it can be fun to play with anyway
From my reading up on crossing peppers, I figure it goes like this..
F1- hybrid
F2- 1 out of 12 plants will remain the hybrid, the rest revert to the parents
F3- 1 out of 6 plants will remain the hybrid, the rest revert to the parents
F4- 1 out of 3 plants will remain hybrid, the rest will revert to the parents
And down the line to F8 which by my understanding at that point will be rougly 98% of the plants will remain the hybrid. Which is why 8th gen is considered stable.
I am no expert, this is just what I have gathered from various readings. The F1 is consistant, but to have good odds of getting an actual F2 you have to grow at least a dozen plants, and that is no guarantee. Each generation after that it is another generation stable thus easier to grow the hybrid, but it takes 8 grows to "guarantee"