Do you mean braid? As long as you don't break the stems, you can do that to any plant with long, flexible stems. Curious about your motivation...?

You probably want to ask this question on the vegetable forum, though the varieties of peppers I grow, the stems are a bit too easily broken to braid easily. You also might want to be clearer in your question. Do you mean braid the stems while they are growing? Or braid them after harvest for drying? I am not sure why you would want to as they are growing since it would make the pepper fruits crowded and so they would grow funny (unless they were a really tiny variety.) In most parts of the US, peppers are grown as annuals.

Here is a link that might be useful: vegetable forum