Preheat oven to 350 degrees F (175 degrees C).

Heat oil in a skillet over medium-high heat. Add chorizo; cook and stir until completely browned and broken into small pieces, 7 to 10 minutes. Off heat; stir in rice, onion, 1/4 cup taco sauce, Cheddar, and cumin until evenly mixed.

Fill pepper halves with chorizo mixture; place in a small casserole dish or pie plate. Drizzle remaining 2 tablespoons taco sauce over peppers. Pour water into bottom of dish; cover loosely with aluminum foil.

Bake in the preheated oven until peppers tender, about 1 hour.