Well, in fact, they really did not. Chillis and sweet peppers are both cultivatars of Capsicum annuum, and belong to the potato family (Solanaceae). Courgettes belong to the pumpkin family (Cucurbitaceae) and, as such, are completely unrelated to, and could not hybridise with, chillis. Michael Bateman would have more chance of munching through a sackful of Scotch bonnets than crossing a chilli with a courgette.
Dr Jeff Ollerton
Oxford Brookes University