It's a fascinating idea, but the truth is: It's NOT true!
Here's why. Peppers produce complete flowers that have both male and female parts. The resulting fruit is the swollen ovary of the plant. Fruit, like the pepper, is always female. (There are some exceptions in the plant world, but peppers are not one of them.)
The number of lobes on a green pepper is due to the variety of pepper. There are three, four and five lobed peppers.
Until next time . . . HAPPY GARDENING!