Combine the first 6 ingredients in a medium bowl. Add the scallops, bell pepper and zucchini and toss to coat. Divide and thread the scallops, zucchini and bell pepper on 4 metal or wooden skewers (if using wood, soak them in cold water an hour or so before grilling). Set the assembled skewers on a plate. Brush the skewers with any liquid in the bowl; season with salt and pepper.
Preheat your grill to medium-high. Oil the bars of the grill. Cook the skewers 2 to 3 minutes per side, or until the scallops are just cooked through. Plate the skewers, garnish with lemon wedges and serve.
Note: Choose a zucchini for this recipe that, when cut into rounds, will be about the same diameter as the scallops.