Wash and dry the colored bell pepper thoroughly.
Cut the pepper open. Remove the seeds and the soft white membrane inside, as these parts may release excess moisture into the sauce.
Finely dice the cleaned bell pepper.
Finely dice the cucumber pickle. Drain or gently pat it dry if it contains excess liquid.
Add the mayonnaise, ketchup, sriracha, mustard, Worcestershire sauce, and white pepper to a mixing bowl.
Stir until the cocktail sauce becomes smooth and evenly combined.
Add the diced bell pepper and cucumber pickle.
Mix gently until they are evenly distributed throughout the sauce.
Cover and refrigerate for at least 30 minutes to allow the flavors to blend.
Stir the Thousand Island dressing once more before serving.