Place the shallot, garlic cloves, and jalapeño into the bowl of a food processor (or blender). Pulse a few times, scraping down the sides of the bowl every once in a while, until the mixture is broken up into small chunks.

Add the herbs, lemon zest, lemon juice, and red wine vinegar. Process, stopping to scrape down the sides of the bowl occasionally, until you have a fine mixture.

While the food processor (or blender) is running, slowly drizzle the olive oil into the herb mixture until you have a smooth sauce. Add the salt and pepper and blend for another few seconds. Taste, and add more salt and pepper if desired. Set aside.

Preheat your grill over low heat. Spray with nonstick spray, if desired.

Meanwhile, brush your halloumi slices and vegetable planks with the olive oil. Season with salt, pepper, and half of the oregano. Flip over the halloumi slices and vegetable planks, and repeat on the second side.

Start grilling your bell peppers. After about 3-4 minutes, add the zucchini planks and halloumi slices to the grill. Cook until the veggies are soft, but tender, and have light char marks, about 5-6 minutes per side for the peppers and 3-4 minutes per side for the zucchini and halloumi. During the last minute, place your buns cut-side down on the grill until toasty, about 30 seconds-1 minute.

To assemble, spread about 1/2 Tablespoon of the herb sauce on each side of the bun. Add a little mayonnaise or Greek yogurt if desired. Stack 2-3 slices of halloumi on the bottom bun. Layer 2 zucchini planks and 2-3 slices of bell pepper over the halloumi and finish with the top bun. Enjoy!