ive seen this a few times, i looked it up a while ago but this is the only information i could find on it is this
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"A pepper growing inside a pepper is a type of parthenocarpy, which is the formation of fruits without fertilization or the formation of seeds. No one is sure what causes them, but temperature and nutrient levels have been ruled out.
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Plant breeders, who consider this anomaly undesirable, keep an eye out for it when selecting for new cultivars, because the trait is inheritable.
if you plant seeds from the fruit/pod that has a second pod growing inside it, the plant that grows from it will most likely produce these pods.
these fruits/pods are edible"
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i copy and pasted this a while ago and have it stored in a notepad document on my computer, i can not remember the source