Soak wooden skewers in water for 20 minutes to prevent burning during the grilling process.
Peel and devein the shrimp, then pat them dry with a paper towel to ensure a good sear.
Cut the halloumi cheese, red bell pepper, zucchini, and red onion into uniform 1-inch cubes.
In a medium mixing bowl, whisk together the extra virgin olive oil, lemon juice, dried oregano, garlic powder, sea salt, and black pepper.
Add the shrimp, halloumi, and chopped vegetables to the bowl and toss until everything is thoroughly coated in the marinade.
Thread the ingredients onto the prepared skewers, alternating between the shrimp, cheese, and vegetables for even cooking.
Preheat a grill or a cast-iron grill pan over medium-high heat until it is very hot.
Place the skewers on the grill and cook for 3 to 4 minutes per side until the shrimp is opaque and the halloumi has developed deep, golden grill marks.
Remove from the heat and serve immediately while the cheese is warm and the vegetables are tender-crisp.