Fish oil is the fat or oil that's extracted from fish tissue. It usually comes from oily fish such as herring, tuna, anchovies and mackerel. Yet sometimes it's produced from the livers of other fish, as is the case with cod liver oil.
A piquillo pepper is a type of small red chili pepper with a shape similar to a triangle that is grown in Spain. It has a flavor that is slightly sweet and spicy, but it is not a truly hot pepper.
piquillos are usually sold in the US roasted and packed in jars. They are a small mild pointed red pepper. In a pinch red bell peppers, roasted, would work. Roasted or grilled Piquillos are however available in cans from imported by Roland (at Fairway), and in jars by Napoleon and DeLallo brands (both at Whole Foods).