Preheat your oven to 400°F (200°C) and line a baking sheet with parchment paper.
In a medium bowl, combine the ground lamb, crumbled feta cheese, dried oregano, finely chopped fresh mint, minced garlic, sea salt, and black pepper.
Mix the lamb mixture by hand until just combined, then roll into 8 small, uniform meatballs.
Cut the red onion and red bell pepper into 1-inch chunks.
Thread the meatballs onto skewers, alternating with the onion and bell pepper pieces.
Place the skewers on the prepared baking sheet and drizzle lightly with extra virgin olive oil.
Roast in the oven for 15-18 minutes, turning once halfway through, until the lamb is cooked through and the vegetables are slightly charred.
While the skewers roast, whisk together the Greek yogurt and lemon juice in a small bowl to create a dipping sauce.
Serve the warm skewers with the lemon-yogurt sauce on the side.