Heat a large nonstick skillet over medium-high heat. Cook and stir sausage in the hot skillet until browned and crumbly, 5 to 7 minutes. Drain and discard grease; set aside.
Preheat an air fryer to 350 degrees F (175 degrees C).
Cut a slit in one side of each sweet pepper lengthwise from stem to tip. Brush peppers with 1 tablespoon olive oil and place in the air fryer basket.
Cook in the preheated air fryer for 3 minutes. Shake the basket and cook until peppers start to brown and soften, about 3 minutes more. Remove peppers and let stand until cool enough to handle; leave air fryer on.
While peppers are cooling, stir together sausage, cream cheese, Cheddar cheese, blue cheese, chives, garlic, and black pepper in a medium bowl until well combined. Mix bread crumbs with remaining 1 tablespoon olive oil in a small bowl.
Spoon cheese mixture into each pepper and sprinkle with bread crumb mixture. Place stuffed peppers in the air fryer basket, working in batches if necessary, and cook until filling is heated through and bread crumbs are toasted, 4 to 5 minutes. Cool slightly; serve warm.