A few years ago, I got some Randy Sine's Evil Jalapeno F3 pepper seeds and grew two plants. One plant had orange fruit. The other one had red fruit. The orange one was earlier. It was one of my most vigorous peppers, if not my most (it was the most that first year anyway). The green ones were the hottest, and tasted the best (kind of like bacon). They tasted really good, and were really hot. It's the hottest Capsicum annuum pepper I've tasted. The red ones tasted simpler and sweet (but still quite hot, even if not nearly as hot as the green ones). Note that the more immature green ones are much less hot (not more).
Anyway, I've been growing the orange ones every year since, and they've always been orange. I grew a red one this year, too, and it's a bigger pepper than before, now (it looks like it crossed with Planet F1 or something). It's still red. It's tasty, but different. Some of the orange ones (I'm growing several) are smaller, this year, but that may just be the soil.
Note that these are more red than they appear (my camera makes things look less red):
Location: SW Idaho, USA
USDA hardiness zone: 6
Elevation: 2,260 feet Profile post