Heat grill. Toss potatoes with oil and season with salt and pepper, to taste. Grill until golden brown on both sides and just cooked through, about 5 to 7 minutes. Combine the vinegar, shallot, mustard and oil. Toss the potatoes in the vinaigrette. Using tongs remove potatoes from the vinaigrette. Toss the watercress and onion in the remaining vinaigrette. Place the potatoes onto the platter and top with blue cheese. Arrange the quail and watercress on top.
Combine both peppers and salt in a small bowl. Brush quail with oil on both sides and season with the pepper mixture on skin side. Grill for 2 to 3 minutes per side.