Cut the sheep`s cheese into finger-thick cubes and place in a shallow bowl. Mix the oil with lemon juice, oregano, salt and pepper, drizzle over the cheese, turn. Cover and chill for about 1 hour.
Slice the zucchini lengthways into thin strips. Wrap the cheese with it. Put on the skewers, top each with a cherry tomato. Grill on the preheated grill for 3 - 4 minutes while turning, brushing with the leftover marinade.