In a small bowl, stir together feta, lemon juice, dill, and 2 tablespoons oil.
Heat a grill or grill pan over medium-high. Clean and lightly oil hot grill. Brush salmon with oil and season with salt and pepper. Place salmon, skin side up, on grill and cook until opaque throughout, 8 to 10 minutes, flipping once. Transfer to a plate and tent with foil. Lightly brush cucumbers with oil and season with salt and pepper. Working in batches if necessary, grill cucumbers until slightly softened and browned, 1 to 2 minutes per side. Top salmon and cucumbers with feta mixture and serve.