Combine the oil and flour in a large heavy saucepan. Cook over medium heat, stirring frequently, until flour is a deep golden brown color, about 8 minutes.
Add onion, bell pepper and garlic; sauté 5 minutes. Add chicken; sauté 5 minutes or until chicken is no longer pink. Add tomatoes, broth, pepperoni, thyme and hot pepper sauce; bring to a boil over high heat. Reduce heat; simmer uncovered 10 minutes or until chicken is cooked through.
Ladle gumbo into shallow bowls; top with rice and parsley.