Cut capsicums in half through the stem end. Scrape out membranes and seeds. Steam capsicums for 5 minutes to soften slightly. Finely chop usable part of capsicum tops.
Heat a large non-stick frying pan over medium heat. Take sausage meat out of casings; crumble into pan. Add chopped capsicum tops and oregano. Cook sausage, breaking it up with a wooden spoon, until it is browned and cooked through, about 3 minutes. Remove pan from heat. Add rice, carrot and cheese.
Preheat oven to 190°C. Place capsicums in 23 cm-square baking dish. Using a small spoon, fill each capsicum with rice mixture. Cover with aluminium foil.
Bake until capsicums are tender, 25 to 30 minutes. Serve with tomato pasta sauce, if desired.