I have never seen this and now it has happened on two different plants the first one shrivled up and fell of this one looks like it might take. Has anyone seen this before will it be two peppers? sorry about the blurry pic.
This usually happens when two flower buds start and then merge together. I'm uncertain of whether or not the genetics actually change but if they do it would be a case of polyploidy. Polyploids are very common in strawberries and it's how we get mutant superberries that have all sorts of clefts and look like four or five jammed together. I've had a few of these flowers but none of them took, they happen in something like 1% of all flowers and seem to be most common in chinense strains.
I'm pretty sure though that these are just two buds that got joined together, something like a siamese twin, not a double/triple/whatever bud. They should produce two or three genetically normal (but not necessarily identical) pods if this were in fact the case. Hopefully yours takes because we all like to see some nice mutants!