Pre-heat the oven to 350 and grease a large baking tray.
Slice bell peppers into rings. Finely chop up the tops, bottoms, and any remaining pepper to be added into the turkey mixture.
Heat oil in a medium skillet and saute onion, mushroom, chopped bell pepper, and garlic for about 5 minutes or until the onion becomes translucent. Stir in the salt, pepper, and theWorcestershire sauce.
Transfer mixture to a large bowl and add in turkey, bread crumbs, egg, parsley, and milk. Mix thoroughly. Divide the mixture evenly among the 9 bell pepper rings and place on a greased baking sheet.
In a small bowl, combine all of the sauce ingredients and spread it evenly over the mini meatloafs.