Preheat oven to 375 degrees F (190 degrees C). Lightly grease a baking dish with olive oil.
In a bowl, mix the ground turkey, crushed pretzels, green bell pepper, and egg. Season with salt and pepper. Form into 4 patties, and arrange in the baking dish.
Bake 30 minutes, turning once, to a minimum internal temperature of 165 degrees F (74 degrees C). Top each patty with a slice of cheese during the last few minutes of cook time.
