Soak 8 wooden skewers in water for a couple of hours before assembling or use metal kebab skewers.
Turn on grill burners to high to heat fully. Scrape the grates clean and then turn all burners to low.
Slice both lemons in half, rub lightly with oil and grill for about 8 minutes, starting cut-side down and flipping to cut side up after a couple of minutes. Remove from grill and allow to cool enough to handle.
Squeeze grilled lemon juice into a bowl (using a strainer to remove any seeds).
Add the sour cream, mayonnaise, parsley, garlic and salt and mix well to combine. Set dip aside.
Slice zucchini into 16 equal pieces, discarding ends.
Cut halloumi cheese into 16 equal size cubes.
Thread each kebab skewer with two mini sweet peppers, two pieces of zucchini and 2 cubes of cheese.
Rub each kebab lightly with the vegetable oil and sprinkle each with a little salt and pepper.
Grill kebabs on low heat, flipping once or twice, until grilled evenly - about 10 minutes.
Remove kebabs from heat and serve with creamy grilled lemon dip.