Some chills require treatment before being planted. Nature for some reason
designed some chill seeds to be soaked in acidic water - I think its called
scarring? before they can be planted. In the wild, the birds or animals
would eat the chilli and they would be in the gut for awhile before being
pooped out. If you're going to do it without their help, heehee , maybe
you can put it in a plastic bag with water for a day or two before planting
it. IIRC, that was how it was demonstrated in one gardening show I watched.

You might like to try the smaller chillis called "chilli padi" - famous in
Malaysia, they are very very hot and grow quite well here in colder
climates.