Heat olive oil in a Dutch oven or soup pot over medium heat. Add chorizo slices and cook 3-4 minutes until lightly browned and the fat has rendered into the oil. Remove chorizo and set aside - this keeps it from overcooking later.
In the same pot, add onion, garlic, and bell pepper. Cook stirring frequently until soft and fragrant, about 5 minutes. Add cumin, homemade sazon, adobo, and tomato paste. Stir and cook 1-2 minutes until the tomato paste darkens slightly.
Add bone broth, drained black beans, rinsed red lentils, and the reserved chorizo. Stir to combine and scrape up any browned bits from the bottom of the pot.
Bring to a boil, then reduce heat to low. Simmer partially covered for 20 minutes. The lentils will dissolve into the broth and the soup will thicken visibly as they cook. Stir occasionally.
Taste and adjust salt. For an even thicker texture, remove 1 cup of beans, mash roughly with a fork, and stir back in.
Ladle into bowls and top each with 3 tablespoons of Greek yogurt. Set the remaining garnishes at the table and let everyone build their own bowl.