Make the kebabs: Combine oil, zest and juice, garlic, oregano,
and lamb in a nonreactive dish; refrigerate for 30 minutes.
Meanwhile, make the feta sauce: Pulse all ingredients in
a food processor until very smooth. Refrigerate.
Heat grill to medium-high. Thread lamb and cucumbers
onto 8 metal skewers; finish each with a lemon wedge. Season
with salt and pepper. Grill 10 to 12 minutes for medium-rare,
flipping halfway through. Serve with sauce.