Soak wooden skewers in water for 10 minutes to prevent burning during grilling.
Cut the halloumi cheese, zucchini, and red bell pepper into uniform 1-inch cubes for even cooking.
Thread the halloumi, zucchini, bell pepper, and cherry tomatoes onto the skewers, alternating the items for a vibrant presentation.
In a small bowl, whisk together the olive oil, lemon juice, dried oregano, garlic powder, sea salt, and black pepper.
Brush the skewers generously on all sides with the lemon-herb mixture until well coated.
Heat a non-stick grill pan over medium-high heat and sear the skewers for 3-4 minutes per side until the halloumi is golden-brown and the vegetables are tender-crisp.
In a separate small bowl, combine the non-fat Greek yogurt and chopped fresh parsley to create the dipping sauce.
Serve the hot skewers immediately with the chilled yogurt dip on the side for a refreshing contrast.