Create a mold by placing aluminum foil on a work surface and folding up the edges. Cut the sheep cheese in half. Place one half in the foil mold, spread the pesto over it, then place the other half on top.
Peel the onion and garlic. Cut them into thin rings or small pieces. Place them on the cheese. Season with sea salt and pepper, using sparingly since sheep cheese is already salty.
Cut the olives into small pieces. Wash the tomatoes and zucchini if desired. Cut them into small pieces. Add the olives, tomatoes, and zucchini to the foil mold.
Roughly chop the basil leaves and sprinkle over the cheese. Drizzle with the olive oil. Wrap the entire package with a second sheet of aluminum foil, sealing the edges.
Place the foil package on a medium-high heat grill for 20 to 30 minutes, depending on grill temperature and desired cheese softness. Carefully open the foil package with a knife and serve.
Oven alternative: Bake at 180°C (356°F) for 20 to 30 minutes. Carefully open the foil package with a knife and serve.