Wash and clean the squid tubes. Place them in boiling water for 3 minutes, then drain and pat dry.
Combine the squid tubes, chopped parsley, juice from half a lemon, finely chopped garlic, and olive oil in a freezer bag. Season with salt and pepper. Seal tightly and refrigerate for at least 3 hours.
Place the squid and marinade in an olive oil-coated ovenproof dish or on aluminum foil. Distribute the pickled peppers and sheep cheese (cut into roughly 1 cm cubes) among the squid. Drizzle with olive oil, season with salt and pepper, and if using foil, seal it tightly.
Cook on a medium-high grill for 10 minutes, or place under a preheated oven broiler for 10 minutes.