If cross pollination takes place, it won't show up until the next generation if you save seeds. What you plant this year is what you get.

Almost all red or yellow bell peppers are green until ripe. There are a couple of green when ripe cultivars but they are rarities. Even the colored bells, white, purple, blacks ripen to red. In short red or yellow bells on the market are simply ripe green bells. As shirleywny5 stated cross pollination only effects saved seeds.

Farmerdilla,
Thanks for the reply. I have one yellow bell plant, one red bell plant and 8 green bells.
The yellow bell has a pepper on it that is huge!As big as a softball! But still green. I'll wait a while and see if it turns color. I have my doubts. Last year I only bought green bells and some of them turned black or red eventually. But none turned yellow.
My feed and seed store sells plants and they charge more for the "red" and "yellow" bell pepper plants.

The only difference is that as the popularity of ripe peppers increases, breeders have emphazized a shorter ripening time. These cultivars will be hybrids and sell for a premium over open pollinated cultivars. Your "green" bells will also ripen to Red or Yellow, Just may take a bit more time. Until a few years ago, holding green was highly desirable in a bell pepper and cultivars like Staygreen and Evergreen were developed.
This is a widely home grown green bell, the California Wonder ripe. There is also a version of the California Wonder that ripens to Yellow.
{{gwi:55335}}

That's because they are different varieties. Colored bell peppers are cultivars specially bred to turn those colors as they near full maturity, so they are different from regular green ones that way. But most all bell peppers are the same in that they all start out growing green. It's like colored tomatoes - they all start out green & change as they get bigger. They may all look the same when you buy them & as they first start putting on tomatoes, but as they ripen you'll see the difference.

So if you buy a regular green bell pepper cultivar, it won't turn all-yellow because it wasn't bred for it. And it may eventually turn red, but it likely won't be that gorgeous all-over red color like red cultivars bred for it.

The difficulty I have is that even when I plant red bell peppers, they tend to get burnt before turning colors. Is there any way to avoid this?

"And it may eventually turn red, but it likely won't be that gorgeous all-over red color like red cultivars bred for it."

Those are gorgeous peppers, Farmerdilla! I stand corrected (& really should refresh the thread before posting ;).

I'm growing Organic California Wonder Bell, Yellow Bell (will be first to flower) & Yolo Wonder for my non-hot peppers this year. Due to limited space, I may see some cross-pollination if I save seeds for next year, but I guess we'll see. =)