1/2 medium red bell pepper, cut into 1-inch pieces
4 small mushrooms
4 pearl onions (or 1 medium onion, cut into 1-inch cubes)
Sea salt and freshly ground black pepper (to taste; optional)
Preheat grill or broiler to high.
Combine oil, lemon juice, lemon peel, and herbs in a small bowl; whisk to blend. Set aside.
Place one shrimp, a piece of yellow squash, a piece of zucchini, a piece of bell pepper, a mushroom, and an onion onto a skewer. Repeat, so the skewer has two pieces of each ingredient. Repeat with three remaining skewers.
Brush skewers with oil mixture.
Grill or broil skewers for 5 to 6 minutes, turning every 2 minutes, until shrimp is opaque and firm, and vegetables are tender-crisp.