In a medium bowl, blend the ricotta with the cream cheese and Parmigiano-Reggiano. Season with salt and pepper.
Light a grill or heat a grill pan. Using a small, sharp knife, remove the stems from the peppers and reserve. Cut around inside the peppers to detach the membranes and remove the seeds. Using a butter knife, fill the peppers with the cheese mixture and reattach the tops. Rub the peppers with olive oil.
Grill the peppers over moderately high heat, turning occasionally, until blistered all over and the cheese filling is piping hot, about 7 minutes. Transfer the peppers to plates and serve.