Position an oven rack in the top third of the oven and preheat the broiler to high.
On a rimmed baking sheet, toss the peppers with the olive oil and 1/4 teaspoon salt and arrange them cut-side down. Broil until beginning to brown and soften slightly, about 4 minutes. Allow to cool to room temperature.
In a medium bowl, combine the goat cheese, mascarpone, orange zest, lemon zest and remaining 1/4 teaspoon salt. Mix well with a rubber spatula. Place the cheese mixture in a piping bag with a decorative tip. Fill each pepper evenly with the cheese mixture, being careful not to overfill. Sprinkle with the chives. Store in the refrigerator if not serving immediately.