Combine the yogurt, olive oil, lemon zest and juice, rosemary, salt, and pepper in a large, non-reactive bowl. Add the lamb, making sure it is covered with the marinade, cover with plastic wrap and refrigerate overnight or for up to 2 days.
Prepare a charcoal grill with hot coals. Spread the coals in one tight layer on the grill.
Cut the lamb in 1 1/2-inch cubes. You should have about 20 cubes.
Cut the red onion in 8 pieces and separate each piece into 3 or 4 sections. Loosely thread 3 or 4 pieces of lamb onto skewers alternately with sections of onion. Sprinkle both sides of the lamb cubes with salt and pepper. Place the skewers on the hot grill and cook for 10 to 15 minutes, turning 2 or 3 times, until the lamb is medium-rare.