Combine the vinegar, water, peppercorns, sugar, salt, cumin seeds, garlic, 4 sprigs of thyme, and the bay leaves in a medium sized non-reactive saucepan. Bring to a boil over medium-high heat, once boiling immediately reduce the heat and simmer for 5 minutes until the sugar and salt have completely dissolved.
While the brine is simmering, slice the ends off of the delicata squash and use a long handles spoon, I used a tea spoon, to gently scrape out all of the seeds from the squash. Alternatively, you can slice the squash in half and remove the seeds with a spoon. Then slice the squash very thin, about an 1/8 of an inch, with a mandoline or a very sharp knife. Use a knife to slice the pepper into thin rounds as well, then layer the squash, pepper rings, and a few additional sprigs of thyme into clean canning jars leaving about a 1/2 inch of room at the top of the jar.
Once the veggies have been packed into the jars carefully pour the hot brine over the veggies until it covers by a 1/4 inch. Place the lid on the jar and allow to come to room temperature before storing in the fridge.
This recipe will make approximately 1 1/2 liters of pickles depending on how big your veggies are.The pickles will keep in the refrigerator for up to 3 weeks.