Preheat a grill to medium. Butterfly the steak by cutting horizontally through the center until the two halves open flat. Cover with plastic wrap and pound it to about 1/4 inch thick. Cut into 3 equal rectangles.
Lay out each steak rectangle. Season with 1 tablespoon steak seasoning. Lay a piece of the roasted red pepper along the bottom edge of each. Sprinkle each with 1/3 cup cheese. Starting at the bottom edge, roll each rectangle into a tight log. Place the 3 rolls parallel to one another. Pierce the 3 rolls with 6 evenly spaced skewers so each skewer goes through the center of all rolls. Slice the rolls between the skewers to make 6 skewers with 3 pieces on each. Season with the remaining 1 tablespoon steak seasoning.
Make the spicy yogurt sauce: Combine the steak seasoning, yogurt, hot sauce, Worcestershire sauce and parsley in a bowl.
Brush the grill grates with the canola oil. Grill the skewers for 3 minutes on all sides. Serve with the sauce. Photograph by Antonis Achilleos