Heat the oven to 200C/fan 180C/gas 6. Put the peppers on a baking tray in a single layer. Season then drizzle with a little oil. Bake for 10-15 minutes until softened.
Put a piece of halloumi inside each pepper and grill until the cheese is golden. Whisk the dressing ingredients together with another 3 tbsp olive oil. Serve the peppers with the dressing drizzled over.