Place the anchovy filet in water to soak in water for 10 to 15 minutes. Drain, rinse, and pat dry. With a mortar and pestle mash the anchovy to a paste (a small food processor would work too). Add the capers, and mash together.

In a medium bowl, dump out the sardines and olive oil. Mash up the sardines with a fork, then stir in the anchovy mixture, the lemon juice, and the yogurt. Add more yogurt or olive oil to taste. Add fresh ground pepper to taste and stir in fresh parsley.

Rinse the raw pepper and cut into thirds. Remove the seeds. Lay the pepper pieces on a plate and fill with the tuna mixture.