Whisk together the oil, garlic, onion, and oregano in a large bowl. Add the lamb and toss to coat. Cover and marinate in the refrigerator for at least 1 hour, or up to 4 hours.
Preheat the grill to medium-high. Grill the sausage until golden brown on all sides and just cooked through. Remove the sausage from the grill, let rest for 5 minutes, and then cut into 1-inch pieces.
Skewer the lamb and sausage onto the presoaked wooden skewers, and season with salt and pepper. Grill for 2 minutes on each side, or until the lamb is golden brown and cooked to medium-rare doneness. Remove from the grill and let rest until cool enough to touch.
Meanwhile, grill the pita on both sides for about 20 seconds to warm through. Slice off 1- inch from the top of each pita. Remove the lamb and sausage from the skewers into the pitas. Add sliced grilled onions and peppers to pitas, and drizzle with the yogurt sauce.
Piquillo Pepper Yogurt Sauce:
Put all ingredients, except salt and pepper, in a blender and blend until smooth. Season, to taste, with salt and pepper. Transfer to a small serving bowl.