Preheat an oven to 350 degrees F (175 degrees C). Arrange the bell peppers in a casserole dish with the cavities facing upwards.
Heat the olive oil in a skillet over medium heat; cook the turkey in the hot oil until completely browned, about 5 minutes. Stir the onion into the turkey; season with salt and pepper. Cook and stir the mixture for 3 minutes. Add the corn, tomatoes, thyme, rosemary, and fennel to the turkey; stir. Pour the water over the mixture and add the rice; mix. Bring the mixture to a boil, cover, reduce heat to low, and simmer until the rice is tender, about 15 minutes. Stir the barbeque sauce through the mixture; remove the skillet from the heat.
Spoon enough of the turkey mixture to fill each of the bell peppers about 1/3 of the way full. Divide about half of the feta cheese among the peppers, creating a layer of cheese atop the turkey mixture. Fill the peppers with the remaining turkey mixture and top with the remaining feta cheese.
Bake in the preheated oven until the peppers are tender, about 45 minutes.