Preheat oven to 350°F; position oven rack in center of oven about 7- to 8-inches away from heating element. Toss together potatoes, oil, pepper, and 1 ½ teaspoons of the salt on a small rimmed baking sheet until evenly coated. Bake, stirring once halfway through, until fork tender, 50 minutes to 1 hour. Let cool slightly, 10 to 15 minutes. Increase oven temperature to broil.

While potatoes bake, place olives, olive brine, gin, vermouth, and lemon peel strips in a small jar or airtight container. Seal container and shake well to combine. Chill in refrigerator until flavors meld, at least 30 minutes and up to 24 hours. Strain marinated olives using a fine-mesh sieve set over a medium bowl, reserving olives and brine mixture separately. Finely chop 2 tablespoons of the olives; set aside.

Once potatoes are slightly cooled, carefully slice top-third horizontally off top of potatoes. Remove and discard skin from trimmed tops and place potato flesh in medium bowl. Using a melon baller or small rounded measuring spoon, scoop out potato flesh, leaving about ⅛-inch border and potato skins intact. Place scooped potato flesh into bowl with trimmed tops. Place hollowed potato skins in even layer on same small baking sheet; set aside.

To potato flesh in medium bowl, add milk, cream cheese, blue cheese, chives, 4 teaspoons of the reserved olive brine, 2 tablespoons of the Parmesan, and remaining ¾ teaspoon salt. Using a potato masher, mash potato mixture until well combined, 1 to 2 minutes. Taste and stir in additional brine mixture, if desired. Spoon or pipe potato mixture into potato skins on baking sheet, piling high as needed until filling is all used up. Sprinkle evenly with remaining 1 tablespoon Parmesan.

Broil until warmed through and cheese is melted and golden brown, about 5 minutes. Transfer to a platter and top evenly with finely chopped marinated olives, pressing them down to help adhere if needed. Garnish with chives and serve immediately. Reserve remaining marinated olives and brine for another use.