Preheat a smoker to 250°F. Heat the olive oil in a skillet over medium heat. Add the diced bell pepper and onion, and cook for 5 to 7 minutes, stirring occasionally, until softened. Set aside to cool.

In a large bowl, combine the ground beef, egg, breadcrumbs, milk, Worcestershire sauce, salt, black pepper, and cooled pepper-and-onion mixture. Mix gently just until combined.

Lay a large piece of parchment paper on the counter. Shape about two-thirds of the meat mixture into a rectangle roughly 8 by 10 inches. Place the provolone slices down the center, leaving a border around the edges.

Shape the remaining meat mixture over the cheese. Pinch the edges and ends together to seal the filling inside, then smooth the loaf so no cheese is exposed.

Place the meatloaf on the smoker grate. Smoke until the center reaches 155°F, checking with an instant-read thermometer inserted into the meat without touching the cheese. Brush the barbecue sauce over the top and continue smoking until the center reaches 160°F.

Transfer the meatloaf to a cutting board and let it rest for 10 minutes before slicing. This helps the loaf hold together and keeps the melted provolone inside.