Soak wooden skewers in water for 20 minutes to prevent them from burning on the grill.
Cut the halloumi cheese, zucchini, red bell pepper, and red onion into uniform 1-inch chunks.
In a small bowl, whisk together the olive oil, lemon juice, lemon zest, dried oregano, garlic powder, sea salt, and black pepper.
Place the shrimp and chopped vegetables in a large bowl and toss with the marinade until everything is evenly coated.
Thread the halloumi, shrimp, and vegetables onto the skewers, alternating the ingredients for a variety of flavors in every bite.
Preheat a grill or grill pan over medium-high heat until it is hot and ready.
Grill the skewers for 3-4 minutes per side until the shrimp is opaque and the halloumi has developed golden grill marks.
Transfer the skewers to a plate and serve immediately while they are warm and fragrant.