Preheat oven to 375 degrees F. Bring a pot of water to a boil.
Place bell pepper halves in a 9x13 baking dish. Drizzle with olive oil and season with salt and pepper. Transfer to the oven and bake until peppers are tender, about 20 minutes.
Meanwhile, in a large bowl, combine the olive oil, white wine vinegar, lemon zest, lemon juice, saffron threads, turmeric and Dijon mustard. Stir to combine. Set aside, allowing the flavors to meld and the saffron time to bloom; about 5 to 7 minutes.
While your saffron is blooming, cook the orzo. When the water reaches a boil, add the orzo and cook until al dente, about 7 minutes. Drain and add to the bowl with the dressing. Add the olives, chickpeas, cherry tomatoes, shallot, oregano, parsley, cayenne and feta. Toss until well combined. Add salt and pepper to taste.
Evenly distribute the orzo mixture into each of the bell peppers; you may have leftover filling depending on the size or your peppers. Top with extra feta if desired and pine nuts. Return to the oven and bake for an additional 5 minutes until the feta is golden brown. Garnish with freshly chopped parsley, serve and enjoy!