Combine chilli, oregano, Dijon, egg, and worcestershire sauce and whisk. Add crumbs and parmesan in a bowl. Mix with damp hands, then form into patties. Chill for 30 minutes.
Meanwhile, preheat grill to high. Grill capsicum, skin-side up, for 3-4 minutes until the skin blisters and blackens. Place capsicum in a plastic bag and stand for 15 minutes. Once cool enough to handle, remove and discard skin. Slice into strips.
Place a frypan over medium-high heat. Brush burger patties with oil, then cook for 5 minutes each side until cooked through.
