Preheat oven to 425° F.
On a foil-lined baking sheet, rub chicken with olive oil, salt and pepper; bake for 30 minutes or until juices run clear. Remove the chicken skin and discard. Transfer rendered fat to small bowl. Set chicken aside to cool. Decrease oven temperature to 400° F.
Place applewood bacon on wire rack set over a cookie sheet and place in the same oven for 20 minutes. Remove when done but not crunchy. Slice into ribbons the short way and set aside.
In a medium pan using half the rendered chicken fat, cook the onions over a medium-low heat until they are caramel in color. Salt and pepper to taste; set aside. Using the remaining chicken fat, cook the mushrooms over a medium heat until they are soft. Salt and pepper to taste; set aside.
In a large saucepan over medium heat, add flour and butter and cook stirring constantly until light amber, about 1 minute. Add the half and half and stir to incorporate. Once the mixture begins to thicken, add the crumbled gorgonzola cheese about a handful at a time, stirring constantly until the cheese is melted. Add nutmeg and stir to incorporate; remove from heat. Shred the chicken with your hands. Fold shredded chicken and applewood bacon ribbons into cheese sauce; set aside.
While the sauce cools, cut the top off of each pepper, removing as little as possible; scoop out the ribs and seeds. Tightly stuff each pepper with the cheese sauce, packing each as full as you can. Beginning at the open end of each pepper, wrap one slice of bacon around it the long way, making sure to cover the hole with the bacon. The bacon should meet, with a little bit of overlap. Cut the excess bacon off and wrap it around the pepper the other way. Secure the bacon to the pepper with a toothpick. Repeat for all the peppers. Place the peppers on a rack set over a cookie sheet and cook until bacon is done to desired crispness.