Preheat the oven to 180 degrees C. Line a baking tray with baking paper.
Combine cream cheese and Cheddar cheese in a bowl and season filling with salt and pepper. Spoon filling into pepper quarters. Decorate each piece with 2 capers for the eyes.
Roll out croissant dough on a lightly floured surface and cut into strips using a pizza cutter or a small knife. Wrap stuffed peppers with dough strips, leaving a small space around the caper eyes. Place on the prepared baking tray.
Bake in the preheated oven until dough is lightly browned, 12 to 15 minutes.