What does it taste like? You can easily roast some peppers to use as a base in a sauce, but I need to know what that is (have never tasted it before.) Thousand Island? Horseradish? Something else?
I don't know what type of pepper you are talking about, so here's a couple different versions.
Peppercorn Sauce
http://www.metro.ca/recette/5385/wing-roast-with-three-pepper-sauce.en.html
Three Pepper Sauce
-2 Tbsp. (30 mL) butter*
-2 Tbsp. (30 mL) minced shallots
-½ tsp. (2 mL) chopped thyme
-2 - 3 Tbsp. (30 - 45 mL) coarsely ground black, pink and green peppercorns
-2 Tbsp. (30 mL) brandy
-½ cup (125 mL) red wine
-2 cups (500 mL) demi-glace
-½ cup (125 mL) whipping cream 35% m.f.
-2 Tbsp. (30 mL) Irresistibles Dijon mustard*
-Salt to taste
Three Pepper Sauce
In the roasting pan, sweat shallots, covered, in butter on low. Add thyme and pepper.
Add brandy, turn heat up to high and flambée.
Add wine, cook uncovered over medium heat until reduced by half.
Add demi-glace and reduce by half.
Add cream and reduce by half. Season.
Remove from heat and stir in mustard. Serve immediately or reserve for use later.
And here's a roasted red pepper sauce
http://www.cookingforengineers.com/recipe/71/Pan-Seared-Scallops-with-Roasted-Red-Pepper-Sauce
You can roast additional peppers for more flavor.