Place halloumi, zucchini, capsicum and red onion on skewers. If using wooden skewers make sure the skewers are soaked in water prior to cooking otherwise they may burn.
To make the lemon vinaigrette place all the ingredients in a bowl and whisk well.
Preheat barbeque grill on medium heat. Brush skewers with some of the lemon vinaigrette, making sure to coat each side. Cook the skewers for 4 – 5 minutes until golden, making sure they are turned frequently so they are cooked evenly.
Serve the skewers immediately with the remaining vinaigrette and charred lemon slices.