To make the marinade: In a large resealable bag, whisk together olive oil, lime juice, garlic, chili powder, cumin, oregano, salt, and cayenne (if using). Set aside.
Using the smooth side of a meat tenderizer, pound the chicken to an even thickness of about ¼ inch. Do this gently as the meat tears easily when too thin.
Place chicken cutlets into the large resealable bag with the marinade, making sure they are completely coated. Allow chicken to marinate for a least one hour to overnight.
Once chicken has marinated to your specified time, lay each chicken cutlet out on a cutting board (or wax paper for easy cleanup) and evenly place about 6 bell pepper slices in the middle of each chicken cutlet.
Roll up each cutlet and secure with a toothpick. Repeat until all the cutlets have been rolled up and place seam side down in a baking dish sprayed with non-stick spray.
The remaining marinade can be brushed on the tops of each chicken bundle and then bake, uncovered, at 375 degrees for about 25 to 30 minutes or until the juices run clear.