Cook the bacon in a large pot over medium heat until almost crisp, about 8 minutes. Add the vegetable oil and increase the heat to medium high; add the bell peppers, onion, collard greens, cayenne and 1/2 teaspoon salt and cook, stirring occasionally, until the vegetables are slightly soft, about 8 minutes. Add the tomatoes and black-eyed peas (with their liquid) and bring to a simmer; cook 15 minutes. Season with salt.
Meanwhile, combine the milk, 2 3/4 cups water and a pinch of salt in a saucepan and bring to a boil. Add the grits and cook, stirring, until thick, about 5 minutes. Serve the grits topped with the collard mixture.