Combine the bell peppers and heavy cream in a pot and bring to boil over medium heat; reduce heat to medium-low and continue simmering, stirring occasionally, until the cream reduces to about 1 cup, about 30 minutes. Remove from heat and stir in the paprika, lemon juice, salt, white pepper, and cayenne pepper.
Pour the sauce into a blender. Hold the lid firmly with a towel while blending, using a few quick pulses to get the sauce moving before leaving it on to blend until smooth. Serve hot.