Place lentils in a medium saucepan and cover with water. Bring to a boil. Reduce heat to low and simmer until tender, about 30 minutes. Drain.
Preheat the broiler.
In a large skillet, heat olive oil over medium heat. Add onion and bell pepper and saute until onions are translucent and pepper is tender, about 7 to 8 minutes. Add garlic and cook about 1 more minute. Stir in chilies and chili powder, and cook about 2 to 3 minutes, stirring occasionally. Stir in the lentils, tomato sauce, water, ketchup, brown sugar, Dijon, Worcestershire, vinegar, celery seed, salt and pepper. Mix well. Reduce heat to low; cover and simmer 15 minutes.
Meanwhile, broil the buns until toasted, 1 to 2 minutes.
Serve the lentils on the toasted buns, topped with sliced avocado and with pickles on the side.