My favorite speculation: eating more chili peppers is associated with reduced sensitivity to pain in general, which leads to lower stress, lower inflammation, and greater physical activity (greater tolerance of muscle soreness and injury risk). There's way more variation in pain sensitivity than most people realize.

Seriously, though, I would expect that the biggest correlation is to ethnic/regional cuisine (particularly southwestern US and Mexican), which I'm not convinced moves the "healthy lifestyle" needle in any particular direction.