The challenge of growing peppers indoors is providing them with enough sunlight to bring them to maturity. They require a long growing season. Even when setting out transplants in a fully sunny location at the end of May or early June in the Twin Cities area of Minnesota, you'll not be able to pick the first pepper for about 75 days. When starting peppers from seed, expect 100 to 120 days to maturity.
It's not impossible to grow peppers indoors, but the odds of success would be improved if you grow them outdoors or in a greenhouse during the growing season.