Birds like chillies and don't perceive them as offensive.
To give your young hens the idea that the nest boxes are the ideal place to lay eggs, first make sure they are desirable. You need enough for one each or nearly so, the boxes need to be in a calm quiet corner of the henhouse, which itself needs to be large enough that the hens can have privacy. We line ours with straw but some people prefer wood chips. Whatever you use it needs to be comfy and be suitable for making a nest in. It can help to put a china egg in to encourage the hen, but if you use something to try to stop them pecking eggs, such as your mustard filled eggs, then it is going to put them off using the nestbox for its intended purpose! Instead, make sure you collect the eggs several times a day, so if any hens have access to the boxes there will be no eggs to steal. Are you sure it's the hens pecking the eggs? We have a problem with crows and jackdaws which are hard to keep out. If you can't collect eggs during the day, you can arrange a set-up where the eggs roll away from where they are laid, rather like the way eggs used to be collected in a battery system.
I'm assuming your hens are free range, but if not then they will need toys, scratch areas and interesting food to peck to keep their interest away from the eggs.