Preheat oven to 375 degrees F (190 degrees C). Line a baking dish with parchment paper.
Place radicchio, Belgian endive, chicory, and romaine lettuce halves in a single layer on the baking sheet. Drizzle 2 tablespoons of the olive oil on top.
Combine olives and capers in a small bowl. Mix oregano, thyme, salt, black pepper, and chile pepper in a small bowl to make spice mixture.
Stuff inner leaves with olives, capers, and spice mixture using your fingers. Wrap halves together with kitchen string to prevent stuffing from falling out. Drizzle remaining 1 tablespoon olive oil on top.
Bake in the preheated oven until crispy and beginning to wilt, 10 to 15 minutes. Cut off kitchen string and sprinkle Romano cheese on top before serving.
