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Heat the oven to 375°F.
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Add the onion, bell pepper, celery, and garlic to a food processor. Blend until finely chopped. Divide the mixture in half.
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Mix the milk and breadcrumbs in a small bowl. In a large bowl, combine the ground beef, beaten egg, breadcrumb mixture, half of the blended vegetables, Worcestershire sauce, Creole seasoning, onion powder, garlic powder, chicken bouillon powder, cayenne, Italian seasoning, and salt. Mix just until combined.
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Roll the meat mixture into meatballs and place them on a baking sheet. Bake for 25 minutes.
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Meanwhile, heat the vegetable oil in a pot over medium heat. Whisk in the flour and cook, stirring often, until the roux is medium brown.
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Carefully add the remaining blended vegetables. Sauté for 5 minutes, stirring often.
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Slowly stir in the beef broth until the gravy is smooth. Bring it to a simmer, taste, and adjust the seasoning as desired.
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Add the baked meatballs and pepperoncini peppers. Cover and simmer on low for 30 minutes. Serve over rice or mashed potatoes.