In a large skillet, heat the olive oil until shimmering. Add the bell pepper, onion, cayenne chiles, Thai chiles, garlic and paprika and cook over moderate heat, stirring occasionally, until the vegetables are softened, about 12 minutes.
Scrape the mixture into a blender and let cool slightly. Add the vinegar, lemon juice and water and puree until almost smooth. Season the sauce with salt and pepper and transfer to a bowl. Let stand at room temperature for about 1 hour before serving.