Eight 10-inch bamboo skewers, soaked in water for 30 minutes to prevent scorching, or 8 metal skewers.
For the marinade: Whisk the oil, parsley, chives, soy sauce, garlic, lemon zest and pepper in a medium bowl.
For the skewers: Alternating the vegetables and meat, thread 3 pieces each of sausage, zucchini and lemon, and 2 pieces each of fennel and bell pepper onto each skewer. Pour or brush the marinade over the skewers. Refrigerate for at least 1 hour until ready to grill.
Preheat a gas or charcoal grill. Oil the grill with vegetable oil. Grill the skewers, turning occasionally, until the sausage is cooked through, 15 to 20 minutes.