Preheat oven to 350 degrees; prepare a baking sheet by spraying with non-stick cooking spray, rinse and dry fillets. Place on prepared baking sheet and season to taste with salt and pepper. Bake fish in oven until it flakes easily with fork, about 12 to 15 minutes.
While the fish bakes, warm 1 tablespoon olive oil in a large saute pan over medium-high heat; add diced peppers and zucchini; saute until crisp tender, season with salt and pepper, divide cooked vegetables among 4 plates and top with cooked fish fillet.
For the sauce; reduce heat to medium and add the remaining oil to pan. Gradually whisk in half-and-half and then cheese; stir until the cheese is melted and sauce begins to thicken, about 5 minutes. Stir in chives, season to taste with salt and pepper.
Drizzle with cheese sauce over plated fish; garnish with additional chives if desired.